This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning … portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses …

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 …-specification. Moreover, we show that various option-implied measures proxy CFER, thus providing a theoretical explanation for their ability …

significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …