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Tail Risk in the Cross Section of Alternative Risk Premium Strategies
Baltas, Nick - 2019
a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional … CAPM. However, in contrast to the empirical literature, the authors cannot always recover the required signs in their cross …
Persistent link: https://www.econbiz.de/10012898606
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Quantile Spectral Beta : A Tale of Tail Risks, Investment Horizons, and Asset Prices
Baruník, Jozef - 2019
We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define a \textit{quantile...
Persistent link: https://www.econbiz.de/10012899016
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A Concave Security Market Line
De Giorgi, Enrico G. - 2018
We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold different sets of risky securities. Whereas the traditional...
Persistent link: https://www.econbiz.de/10012940481
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GMM weighting matrices incross-sectional asset pricing tests
Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020 - This version: November 4, 2020
Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...
Persistent link: https://www.econbiz.de/10012322408
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Risk price variation : the missing half of empirical asset pricing
Patton, Andrew J.; Weller, Brian M. - 2019
Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create high-Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in...
Persistent link: https://www.econbiz.de/10012117698
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...
Persistent link: https://www.econbiz.de/10011410917
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Pricing of the Time-Change Risks
Tauchen, George - 2011
We develop a discrete-time real endowment economy featuring recursive preferences and a Levy time-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium framework for pricing non-Gaussian risks, with closed-form...
Persistent link: https://www.econbiz.de/10013132845
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Single Beta Models and Currency Futures Prices
McCurdy, Thomas H. - 2012
The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference...
Persistent link: https://www.econbiz.de/10013113912
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion - 2012
We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...
Persistent link: https://www.econbiz.de/10013115228
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion - 2012
We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...
Persistent link: https://www.econbiz.de/10013106117