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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
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Value Irrelevance of the Reported Earnings Numbers and Informativeness of the Asset Price under the Conservative Accounting : Implications on Mark to Market Accounting
Luo, Guo Ying - 2019
volatility of the economic earnings of the asset. These results support the alternative accounting of mark to market … formulating their trading strategies without paying attention to the accounting procedures used to generate those numbers. This … paper shows analytically that under the conservative accounting, the reported accounting earnings numbers are value …
Persistent link: https://www.econbiz.de/10012861762
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Dynamic option-based strategies under downside loss averse preferences
Jalal, Amine (contributor) - 2007
loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The …
Persistent link: https://www.econbiz.de/10003550865
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Common risk factors and the macroeconomy : new evidence from the Japanese stock market
Bretschger, Lucas; Lechthaler, Filippo - 2012
Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...
Persistent link: https://www.econbiz.de/10009552906
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Value around the world
Caliskan, Nilufer; Hens, Thorsten - 2013
We show that in a consumption-based asset-pricing model with hyperbolic discounting leading to dynamically inconsistent time preferences value premium increases nonlin-early with the degree of discounting and thus affects cross section of returns. To test our model empirically, we relate the...
Persistent link: https://www.econbiz.de/10009751115
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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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A note on the impact of portfolio overlapping in tests of the Fama and French three-factor model
Wallmeier, Martin; Tauscher, Kathrin - 2012 - First draft, Oct. 2012
In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...
Persistent link: https://www.econbiz.de/10009664476
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …
Persistent link: https://www.econbiz.de/10010257492
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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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Multivariate GARCH for a large number of stocks
Raddant, Matthias; Wagner, Friedrich - 2016
second simple component to account for the remaining contribution to the volatility. This allows the analytical calculation …
Persistent link: https://www.econbiz.de/10011543357