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Beta risk in the cross-section of equities
Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
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The Pricing of Market Jumps in the Cross-Section of Stocks and Options
Babaoglu, Kadir - 2018
Market index and individual stock returns exhibit jumps in addition to normal shocks. Equities have exposure to the market and sensitivity to the market is important for explaining equity returns and option prices. I develop a new factor model that explores (i) if a separate beta for market...
Persistent link: https://www.econbiz.de/10012936701
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Beta Risk in the Cross-Section of Equities
Boloor, Ali - 2019
We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify. In the model, the expected return on a stock depends on beta's co-movement with market variance and more generally with the stochastic discount factor and deviates from the...
Persistent link: https://www.econbiz.de/10012899147
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Is Idiosyncratic Volatility Risk Priced? Evidence from the Physical and Risk-Neutral Distributions
Boloor, Ali - 2014
We use simultaneous data from equity, index and option markets in order to estimate a single-factor market model in which idiosyncratic volatility is allowed to be priced. We model the index dynamics' physical distribution as a mean-reverting stochastic volatility process as in Heston (1993),...
Persistent link: https://www.econbiz.de/10013056816
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Detecting Arbitrage in the Foreign Exchange Market
Cui, Zhenyu - 2018
) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for … excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we … propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to …
Persistent link: https://www.econbiz.de/10012921244
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Arbitraging Mispriced Assets with Separation Portfolios to Lessen Total Risk
Apreda, Rodolfo - 2009
This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market … least total risk among other alternative portfolios. Coming next, such arbitrage is dealt directly with one single … separation portfolio, which grants that the total risk linked with the arbitrage portfolio equals the non-systematic risk …
Persistent link: https://www.econbiz.de/10013159871
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An Intertemporal Equilibrium Beta Pricing Model
Connor, Gregory - 2011
This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory …
Persistent link: https://www.econbiz.de/10013119258
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Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds
Gemmill, Gordon - 2011
is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …
Persistent link: https://www.econbiz.de/10013128561
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Salvaging the C-CAPM : Currency Carry Trade Risk Premia and Conditioning Information
Abhyankar, Abhay - 2011
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...
Persistent link: https://www.econbiz.de/10013120594
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Salvaging the C-Capm : Currency Carry Trade Risk Premia and Conditioning Information
Gonzalez, Angelica - 2012
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...
Persistent link: https://www.econbiz.de/10013101597