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The Equity Premium With Undiversified Investors and Financial Frictions
Elenev, Vadim; Landvoigt, Tim - 2022
We study the implications of undiversified investors in a production-based asset pricing model with rare disasters. In our model, households experience idiosyncratic shocks to human capital and partially invest their wealth in a single firm with idiosyncratic shocks. The model features tractable...
Persistent link: https://www.econbiz.de/10014236608
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10014025359
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Financial Market Anomalies
Vidal-García, Javier; Vidal, Marta - 2022
The objective pursued in the present work is the identification of possible anomalies associated with daily seasonality in the returns of British companies listed on the London Stock Exchange. For this purpose, we examine the profitability of these companies for a the sample period between the...
Persistent link: https://www.econbiz.de/10013297626
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Commodity futures return predictability and intertemporal asset pricing
Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10012418356
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Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chang, Chia-Lin - 2012
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …
Persistent link: https://www.econbiz.de/10013113663
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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
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Rolling regression CAPM on Zagreb stock exchange : can investors profit from it?
Škrinjarić, Tihana - In: Economic review : journal of economics & business 16 (2018) 2, pp. 7-22
This paper explores possibilities of using rolling regression CAPM on the Zagreb Stock Exchange in portfolio and risk management. Since original model has many flaws, one of them including the assumption of constant parameters in the model, extending the model with the assumption of changing...
Persistent link: https://www.econbiz.de/10012012610
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …
Persistent link: https://www.econbiz.de/10013149486
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Value of Hedge and Expected Returns
Ma, Jinpeng - 2015
We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of a S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the CRSP value weighted S&P 500 index portfolio (including dividends) for...
Persistent link: https://www.econbiz.de/10013009981
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Cross-Hedging Minimum Return Guarantees : Basis and Liquidity Risk
Ankirchner, Stefan - 2013
We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment …, e.g.\ an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy … risk. We demonstrate that both risks may be surprisingly high and show how the design of the contract and the hedging …
Persistent link: https://www.econbiz.de/10013089338