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This paper provides insight view of an investor mind dueling on proving the fact that a series of event in a company could cause a dramatic move on to practitioners who wish to forecast market returns based on event occurrences.Using 12 years (2006 to 2018) historical data of Foxconn Company...
Persistent link: https://www.econbiz.de/10012893996
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
Model selection, i.e., the choice of an asset pricing model to the exclusion of competing models, is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of...
Persistent link: https://www.econbiz.de/10013116303
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM …
Persistent link: https://www.econbiz.de/10012012458
We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty …. For reducing the discrepancy between the equilibrium outcomes and the data, variations in the prior estimation risk with …
Persistent link: https://www.econbiz.de/10013130393
Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …
Persistent link: https://www.econbiz.de/10013038504
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012908673
the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …
Persistent link: https://www.econbiz.de/10013133961
Empirical analysis of financial data such as the daily, weekly or monthly prices of assets such as bonds, stocks, currencies and commodities have shown that asset prices approximately follow a martingale process, but the distribution of asset returns tend to be fat-tailed. This paper examines...
Persistent link: https://www.econbiz.de/10013156833