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Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Disentangling anomalies : risk versus mispricing

Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020

Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...

Persistent link: https://www.econbiz.de/10012388392

An anatomy of the equity premium

Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822

Low risk anomalies?

Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019

compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual … coskewness, which allows us to construct coskewness factor mimicking portfolios. Controlling for skewness renders the alphas of … are largely driven by a single principal component, which is in turn largely explained by skewness …

Persistent link: https://www.econbiz.de/10012134221

Downward nominal rigidities and bond premia

Gourio, François; Ngo, Phuong - 2024

We develop a parsimonious New Keynesian macro-finance model with downward nominal rigidities to understand secular and cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation dynamics: a higher level of inflation makes prices more...

Persistent link: https://www.econbiz.de/10014505834

Option-Implied Asymmetry and Market Returns

O'Sullivan, Conall; Wang, Yan - 2022

-neutral skewness measures, we find that RNA is significantly negatively linked to future market excess returns at horizons ranging from …

Persistent link: https://www.econbiz.de/10014236004

A note on the computation of the equity premium and the market value of firm equity

Heer, Burkhard; Maußner, Alfred - 2010

Turnovsky (1995) derives in a continuous-time model of a decentralized economy that the correct specification of the firm's objective function is to maximize the initial value of its outstanding securities. The firm value is the discounted flow of real earnings. For the discrete-time version of...

Persistent link: https://www.econbiz.de/10010275839

Asset pricing with uncertain betas: A long-term perspective

Gollier, Christian - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010291514

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10010291529

Cyclical asset returns in the consumption and investment goods sector

Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10009786095

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