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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

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

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

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

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

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555

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

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

Chapter 10 Arbitrage, state prices and portfolio theory

Dybvig, Philip H.; Ross, Stephen A. - 2003

equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

Persistent link: https://www.econbiz.de/10014023861

Global Political Risk and Currency Momentum

Filippou, Ilias - 2016

. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …

Persistent link: https://www.econbiz.de/10013005726

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