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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Portfolio Volatility of Islamic and Conventional Stock : The Case of Indonesia Stock Market
Herwany, Aldrin - 2013
data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks …
Persistent link: https://www.econbiz.de/10013075496
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Asset Prices and Institutional Investors
Basak, Suleyman - 2012
the index stock volatilities and aggregate stock market volatility, and give rise to countercyclical Sharpe ratios. Trades …
Persistent link: https://www.econbiz.de/10013116286
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Amplification and Asymmetry in Crashes and Frenzies
Ozsoylev, Han N. - 2012
We often observe disproportionate reactions to tangible information in large stock price movements. Moreover these movements feature an asymmetry: the number of crashes is more than that of frenzies in the S&P 500 index. This paper offers an explanation for these two characteristics of large...
Persistent link: https://www.econbiz.de/10013104341
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Conditional Asset Pricing and Momentum
Huynh, Thanh - 2014
Winner stocks have higher risk exposure to Fama and French's (1993) three factors (FF3F) than loser stocks during good economic times, and therefore should earn higher expected returns. Employing the conditional FF3F model to risk adjust returns on winner and loser stocks can reduce the average...
Persistent link: https://www.econbiz.de/10013065594
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Investor Sentiment, Volatility and Stock Return Comovements
Chandra, Abhijeet - 2013
comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …
Persistent link: https://www.econbiz.de/10013073102
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International Stock Market Co-Movements and Politics-Related Risks
Pagliardi, Giovanni - 2019
We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic...
Persistent link: https://www.econbiz.de/10012890799
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The VIX is Your FIX : a Flexible Strategy to Timing the Stock Market
Bonaparte, Yosef - 2020
We use the VIX and basic trading behavior to time entry and exit from the market. Our strategy captures 89% of the bottom and 91% from the top (you miss only 11% and 9% from the peak point, respectively). We lay our strategy down in six acts. Act I: the daily average return in the stock market...
Persistent link: https://www.econbiz.de/10012829277
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Long-Term Stock Returns in Brazil : Volatile Equity Returns for U.S.-Like Investors
Araújo, Eurilton - 2020
volatility discourages heavier investments in stocks …
Persistent link: https://www.econbiz.de/10012831921