Narrow search
Showing 1 - 10 of 2,156
Cover Image
Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Wang, Tong - 2022
This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock market. We decompose an option- based factor into three main components and identify the one responsible for the beta-return relationship. Applying this method to the bear risk...
Persistent link: https://www.econbiz.de/10013305706
Cover Image
Extreme downside liquidity risk
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2013 - This version: Nov. 2013
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10010410457
Cover Image
Super-exponential growth expectations and the global financial crisis
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - 2014
We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...
Persistent link: https://www.econbiz.de/10010443041
Cover Image
Mortgage Risk Premiums during the Housing Bubble
Levitin, Adam J. - 2020
How did pricing for mortgage credit risk change during the years prior to the 2008 financial crisis? Using a database from a major American bank that served as trustee for private-label mortgage-backed securitized (PLS) loans, this paper identifies a decline in credit spreads on mortgages...
Persistent link: https://www.econbiz.de/10012853275
Cover Image
Risk Premia, Asset Price Bubbles, and Monetary Policy
Jarrow, Robert - 2019
on prices, risk premia, asset price bubbles, and financial stability. Bubble risk premia arise from an interaction … adjusted risk and bubble risk premia increase. We propose a new framework for monetary policy with respect to bubbles. What …/pessimists). Accommodative policy can lead to a larger fraction of trading constrained agents that disagree, larger bubbles, and increased …
Persistent link: https://www.econbiz.de/10012866817
Cover Image
The macroeconomics of financial speculation
Simsek, Alp - In: Annual review of economics 13 (2021), pp. 335-369
Persistent link: https://www.econbiz.de/10012612571
Cover Image
Kimchi premium and speculative trading in bitcoin
Eom, Yunsung - In: Finance research letters 38 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012490252
Cover Image
Is the Kimchi premium a speculative bubble?
Ok, Hyunmin; Kim, Jinyong; Kim, Yongsik - In: Finance research letters 57 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014513401
Cover Image
Macroeconomics of financial speculation
Simsek, Alp - 2021
Persistent link: https://www.econbiz.de/10012430359
Cover Image
Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056