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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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Information Shocks and the Cross-section of Expected Returns
Savaser, Tanseli; Tiniç, Murat - 2022
This paper examines the risk premium associated with the information shocks in equity markets. For all stocks traded in Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as the unanticipated information asymmetry by focusing on the changes in the proportion of...
Persistent link: https://www.econbiz.de/10013404748
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Risk on-risk off : a regime switching model for active portfolio management
Dapena, José P.; Serur, Juan Andrés; Siri, Julián R. - 2019
which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …
Persistent link: https://www.econbiz.de/10012146691
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
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Financial markets equilibrium with heterogeneous agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009
shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10003971310
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Price impact and portfolio impact
Cvitanić, Jakša; Malamud, Semyon - 2010
We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...
Persistent link: https://www.econbiz.de/10003979998
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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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Shifts in Sectoral Wealth Shares and Risk Premia : What Explains Them?
Bansal, Ravi - 2017
We empirically show across several broad asset classes that sectoral wealth shares do not positively correlate with their risk premia---a first-order prediction of canonical equilibrium models. We then analyze the roles mean-variance and hedging demand play in accounting for sectoral shifts...
Persistent link: https://www.econbiz.de/10012957172
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Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders
Charles-Cadogan, G. - 2018
Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This suggests that the profitability of HFT is much higher than that of other actively managed portfolios. In highly...
Persistent link: https://www.econbiz.de/10012937216
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Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles
Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - 2017
We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible … commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable … volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and …
Persistent link: https://www.econbiz.de/10011762277