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Risk measures in finance : congruent or contrasting?
Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180
Persistent link: https://www.econbiz.de/10012391033
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How Index Futures and ETFs Affect Stock Return Correlations
Leippold, Markus - 2016
impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …
Persistent link: https://www.econbiz.de/10013004525
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Crash risk in individual stocks
Pederzoli, Paola - 2018
This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The methodology takes the form of a trading strategy, a skewness swap. The return on the strategy shows a significant positive skewness risk premium in individual stocks. The risk premium...
Persistent link: https://www.econbiz.de/10011899675
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Using Average Internal Rates of Return for Investment Performance Measurement and Attribution
Magni, Carlo Alberto - 2016
In this note we make use of theAverage Internal Rate of Return (AIRR) approach, first introduced in Magni (2010), to introduce a pair of metrics, opposed to IRR and TWRR, which measure the manager's performance and the investor's performance on the basis of the market values of the fund. We also...
Persistent link: https://www.econbiz.de/10012978556
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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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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
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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
quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …
Persistent link: https://www.econbiz.de/10012421289
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Capital allocation based on the tail covariance premium adjusted
Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131
Persistent link: https://www.econbiz.de/10010402702
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Default Risk and Cross Section of Returns
Cakici, Nusret - 2019
Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...
Persistent link: https://www.econbiz.de/10012868989
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Prices and volatilities in the corporate bond market
Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015
We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and Huang (2012), we apply a decomposition methodology to...
Persistent link: https://www.econbiz.de/10011772268