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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
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
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Quantile risk-return trade-off
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...
Persistent link: https://www.econbiz.de/10012587977
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Asset Pricing Anomalies and the State Ownership Effect in China's Domestic Stock Market
Zhang, Henry - 2017
In China, a large proportion of companies are state owned, and this factor is a likely important driver of assets prices. In this paper, a State-Owned Enterprise (SOE) benchmark/factor is constructed along with the market factor and common benchmarks used in the literature to explain returns –...
Persistent link: https://www.econbiz.de/10012953152
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Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program
Liu, Clark - 2020
volatility compared with unconnected stocks with similar firm characteristics, especially for stocks with higher market beta. The …
Persistent link: https://www.econbiz.de/10012855747
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …
Persistent link: https://www.econbiz.de/10009734341
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2012
moments, we show that it can quantitatively account for the observed stock price volatility, the persistence of the price …
Persistent link: https://www.econbiz.de/10011489917
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Time-Change Risks and the Aggregate Stock Market Behavior
Marfè, Roberto - 2011
premium and Sharpe ratio, a high and clustered volatility, a rich time-variation of returns and a low and little volatile risk …
Persistent link: https://www.econbiz.de/10013131562
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Conditional Asset Pricing and Momentum
Huynh, Thanh - 2014
Winner stocks have higher risk exposure to Fama and French's (1993) three factors (FF3F) than loser stocks during good economic times, and therefore should earn higher expected returns. Employing the conditional FF3F model to risk adjust returns on winner and loser stocks can reduce the average...
Persistent link: https://www.econbiz.de/10013065594
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What Happened to the US Stock Market? Accounting for the Last 50 Years
Boldrin, Michele - 2019
The extreme volatility of stock market values has been the subject of a large body of literature. Previous research …
Persistent link: https://www.econbiz.de/10012906199
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Accounting-Based Equity Valuation and Returns on Equity Volatility
Lyle, Matthew R. - 2020
volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk … aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are … to explain price dynamics across stock and volatility markets …
Persistent link: https://www.econbiz.de/10012855869