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Mean Swap Variance, Portfolio Thoery and Asset Pricing
Chow, Victor - 2018
Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is … unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap … the classical MV portfolio theory and the CAPM, is consistent with expected utility maximization for all risk …
Persistent link: https://www.econbiz.de/10012934044
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The Interaction between Corporate Bonds Yields, Equity Market and the Macro Economy
Bulmash, Samuel B. - 2012
The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...
Persistent link: https://www.econbiz.de/10013100689
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Is the Portfolio Effect Ending? Idiosyncratic and Market Risk Over the Long Run
Le Bris, David - 2012
This paper revisits what we know about the risk of stocks thanks to a non-US long term database. French stock market risk observed over the last 150 years, presents a long-term rise. Despite peace and economic stability, market risk has never converged to levels seen pre-1914. Reversely, the...
Persistent link: https://www.econbiz.de/10013115417
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Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
against the benchmark, swapped or hold outright in their trading book. Different spread calculations against swap or benchmark … swap spread acts as the major tool to make investment decisions and after the bonds are purchased, an asset swap hedge will … interpolation ; zero curve ; credit curve ; steepener ; flattener ; barbell ; credit basis ; bullet ; asset swap spread ; Z …
Persistent link: https://www.econbiz.de/10009622377
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Multi-Asset Seasonality and Trend-Following Strategies
Baltas, Nick - 2016
This paper investigates the seasonality patterns within various asset classes. We find that a strategy that buys the assets with the largest same-calendar-month past average returns (up to ten years) and sells the assets with the smallest same-calendar-month past average returns, earns...
Persistent link: https://www.econbiz.de/10013002295
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...
Persistent link: https://www.econbiz.de/10012421289
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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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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010412464
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010472838