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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015
performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …-taking incentives arising from performance-based compensation of hedge funds. …
Persistent link: https://www.econbiz.de/10011308590
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015
the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …
Persistent link: https://www.econbiz.de/10010485488
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Volatility of aggregate volatility and hedge fund returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - In: Journal of financial economics 125 (2017) 3, pp. 491-510
Persistent link: https://www.econbiz.de/10011751857
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¿Qué tan sensibles son los mercados financieros al brote por COVID-19? Evidencia de los mercados de Estados Unidos y Colombia
Ramírez Quintero, James Duvan; Marulanda Piedrahita, … - In: Revista de Métodos Cuantitativos para la Economía y … 36 (2023), pp. 1-23
In this article, the market risk associated with the financial markets of New York and Colombia is evaluated in three periods belonging to the 2019-2020-time window, characterized by shocking economic and social conditions such as the oil price war between Saudi Arabia and Russia and the global...
Persistent link: https://www.econbiz.de/10014494562
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Idiosyncratic Return Volatility and Price Informativeness : Evidence from Stock Splits
Liu, Mark H. - 2013
Whether higher idiosyncratic return volatility means more or less informative stock prices is an ongoing debate. All the existing literature relies on cross-sectional evidence, which makes it hard to isolate the effects of price informativeness on idiosyncratic volatility from other effects. I...
Persistent link: https://www.econbiz.de/10013091400
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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models
Beliaeva, Natalia - 2009
This paper presents a new transform-based approach for path-independent lattice construction for pricing American options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct efficient path-independent lattices for virtually all...
Persistent link: https://www.econbiz.de/10013152949
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Modeling the Exchange Rate Volatility Using GARCH-Type Models : Evidence from Pakistan
Mughal, Hammad Ul Haq - 2009
empirically investigate the performance of GARCH family models in forecasting the volatility behavior of Pakistani exchange rate …
Persistent link: https://www.econbiz.de/10013156666
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The impact of ESG ratings on implied and historical volatility
Burger, Eric; Grba, Fabian; Heidorn, Thomas - 2022
the company due to good ESG performance. Our work contributes by examining the impact of relatively better ESG performance … score. A better ESG performance measured by the company's ESG rating(s) has a risk-reducing effect in the form of lower …
Persistent link: https://www.econbiz.de/10013040903
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Can Stock Analysts Predict Volatility?
Medovikov, Ivan - 2018
We assess investment value of sell-side analyst recommendations from the standpoint of portfolio risk. We match I/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns up to one year following recommendation issue....
Persistent link: https://www.econbiz.de/10012917695
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Volatility and Venture Capital
Peters, Ryan H. - 2018
The performance of venture capital (VC) investments load positively on shocks to aggregate return volatility. I … performance and volatility is driven by the option-like structure of VC investments, especially by VCs' contractual option to … of volatility at the time of initial investment has no relation with future performance, consistent with competitive …
Persistent link: https://www.econbiz.de/10012932701