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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
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High Short Interest Effect and Aggregate Volatility Risk
Barinov, Alexander - 2015
future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility …, and the aggregate volatility risk factor can largely explain the high RSI effect. The key mechanism is that high RSI firms … more valuable as idiosyncratic volatility goes up. Idiosyncratic volatility usually increases with aggregate volatility (i …
Persistent link: https://www.econbiz.de/10013037671
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Using Long Term Implied Volatilities to Assess Past and Present U.S. Stock Prices
Cantillo, Miguel - 2020
This paper empirically analyzes a model that relates earnings price ratios to long term risk free rates and implied volatilities. The two periods with sufficient available data are 1890-1933, and 2007-2019. I estimate that modern investors have relative risk aversion of 1.34 and a time...
Persistent link: https://www.econbiz.de/10012846120
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Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility
Forte, Santiago - 2020
We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …
Persistent link: https://www.econbiz.de/10012848868
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Informed Trading in the Options Market around CEO Turnover Announcements
Nguyen, Thu Dung - 2021
We examine the informed trading in the options market for firms announcing CEO turnover and their suppliers and find that pre-announcement options trading in both announcing firms and the suppliers have predictive power for abnormal returns around forced CEO turnover events. This effect is...
Persistent link: https://www.econbiz.de/10013324363
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Ambiguity, Long-Run Risks, and Asset Prices
Wei, Bin - 2019
We generalize the long-run risks (LRR) model in Bansal and Yaron (2004) by incorporating the recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model remains...
Persistent link: https://www.econbiz.de/10012896734
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Extremal Quantiles and Stock Price Crashes
Andreou, Panayiotis C.; Anyfantaki, Sofia; Maasoumi, … - 2023
We employ extreme value theory to identify stock price crashes, featuring low-probability events that produce large …
Persistent link: https://www.econbiz.de/10014350318
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Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets
Cantillo, Miguel - 2019
This paper develops a tractable asset pricing framework based on an Arrow Debreu economy with heterogeneous agents. The assumption of heterogeneity recasts the market rather than aggregate consumption as the key element for pricing securities. The model expresses some asset pricing relationships...
Persistent link: https://www.econbiz.de/10012901837
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Stock Liquidity and Issuing Activity
Barinov, Alexander - 2019
seems to explain the new issues puzzle and related anomalies only because it picks up volatility risk …
Persistent link: https://www.econbiz.de/10012904032
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Corporate Hedging and the Variance of Stock Returns
Biguri, Kizkitza - 2019
By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new commodity derivatives are introduced in the Chicago Mercantile...
Persistent link: https://www.econbiz.de/10012899849