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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …
Persistent link: https://www.econbiz.de/10012421289
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Crash risk in individual stocks
Pederzoli, Paola - 2018
This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The methodology takes the form of a trading strategy, a skewness swap. The return on the strategy shows a significant positive skewness risk premium in individual stocks. The risk premium...
Persistent link: https://www.econbiz.de/10011899675
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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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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Daniel, Kent D. - 2018
. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …
Persistent link: https://www.econbiz.de/10012918741
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The Skew Risk Premium in the Equity Index Market
Kozhan, Roman - 2019
skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …
Persistent link: https://www.econbiz.de/10012906107
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Risk Aversion, Fanning Preference, and Volatility Smirk on S&P500 Index Options
Chen, Jian - 2016
fanning effect generates pronounced volatility smirks …
Persistent link: https://www.econbiz.de/10012992993
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Risk and uncertainty in style rotation
Krause, Timothy A. - In: Financial services review : the journal of individual … 27 (2018) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10011992584