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The term structure of equity and variance risk premia

Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure against volatility risk increases after a market drop. This...

Persistent link: https://www.econbiz.de/10011899885

Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?

Abhakorn, Pongrapeeporn - 2016

the consumption-based capital asset pricing model (C-CAPM). Although the conditional covariances of returns with … consumption exhibit negative variation across size, they do not vary across the book-to-market ratio. Thus, the C-CAPM can capture … improves the fit of the C-CAPM, however. The value effect appears to be associated with book-to-market ratio as well as size …

Persistent link: https://www.econbiz.de/10013000288

Fool's Errand? Robust Identification of Risk Premia and Expectations in Asset Prices

Guimaraes, Rodrigo - 2016

In this paper I show that the difficulty in estimating unconditional means from time series data alone is the cause for the lack of robustness in empirical estimates of the workhorse model in macro-finance. Using US and UK yield curve data and an extensive Monte Carlo study I show that using...

Persistent link: https://www.econbiz.de/10013006567

The Implied Risk Premium and Firm Risk Characteristics

Wang, Pengguo - 2016

This paper proposes a new approach to infer a firm-specific measure of the implied cost of capital. It incorporates endogenously estimated industry-year growth rate of the net present value of future investments. It requires only one-year-ahead forecasts of earnings, and dividend payout policy...

Persistent link: https://www.econbiz.de/10013007706

Volatility, Distress Risk, and the Cross Section of Returns

Sabbaghi, Omid - 2015

Persistent link: https://www.econbiz.de/10013023281

Asset Prices in an Economy Where Volatility Comes with the Intensity of Rare Disaster

Kim, Soohun - 2015

This paper proposes a regime-switching asset pricing equilibrium model where volatility and the intensity of a rare disaster comove with MSM(Markov Switching Multifractal, a generalization of two-state regime-switching of Hamilton (1989) into multifrequencies) dynamics. Using monthly returns...

Persistent link: https://www.econbiz.de/10013036426

Stochastic Volatility and Asset Pricing Puzzles

McQuade, Timothy - 2018

This paper builds a real-options model of the firm with stochastic volatility to shed new light on the value premium, financial distress, and credit spread puzzles. Since the equity of growth firms and financially distressed firms have embedded options, such securities hedge against volatility...

Persistent link: https://www.econbiz.de/10012913719

Crude Oil Prices, Risk Preferences, and Intertemporal Variation in Market Expected Returns : Empirical Evidence from the Nigerian Stock Exchange (NSE)

Obrimah, Oghenovo A. - 2019

This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...

Persistent link: https://www.econbiz.de/10012903916

Good Jumps, Bad Jumps, and Conditional Equity Premium

Guo, Hui - 2019

We uncover significant asymmetric effects of realized jump risks on conditional equity premium. Negative or ``bad'' (positive or ``good'') jumps predict a rising (falling) near-term equity premium. The signed jump risk measures remain statistically significant even when we control for the...

Persistent link: https://www.econbiz.de/10012904660

Chapter 13 Consumption-based asset pricing

Campbell, John Y. - 2003

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...

Persistent link: https://www.econbiz.de/10014023858