Showing 1 - 10 of 40
This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback...
Persistent link: https://www.econbiz.de/10012904697
Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty and controlling for market...
Persistent link: https://www.econbiz.de/10012904720
We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e....
Persistent link: https://www.econbiz.de/10013008621
Persistent link: https://www.econbiz.de/10013177472
We conjecture that partially segmented stock indexes that are characterized by low correlation with the world market are mainly priced by local factors and should produce abnormal returns relative to a global asset-pricing model. This implies a negative relation between correlation and future...
Persistent link: https://www.econbiz.de/10014351192
Persistent link: https://www.econbiz.de/10014434054
Persistent link: https://www.econbiz.de/10014520444
Persistent link: https://www.econbiz.de/10008900940
Persistent link: https://www.econbiz.de/10003702578
This paper models ContinuousWorkout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...
Persistent link: https://www.econbiz.de/10009008194