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How Much Would You Pay to Resolve Volatility Risk in Agricultural Commodity Markets?

Yan, Lei - 2019

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options for five commodities (corn, soybeans, Chicago wheat, live...

Persistent link: https://www.econbiz.de/10012889824

The Returns to Carry and Momentum Strategies

Ahmerkamp, Jan Danilo - 2013

We find that global time series carry strategies (across bonds, commodities, currencies, equities and metals) can be explained by a set of lagged macroeconomic variables. The payoffs to carry strategies disappear once futures returns are adjusted for their predictability based on these...

Persistent link: https://www.econbiz.de/10013085843

Heterogeneity in Beliefs and Volatility Tail Behavior

Bakshi, Gurdip S. - 2012

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors...

Persistent link: https://www.econbiz.de/10013108996

TikTok Sentiment, Emotional Contagion, and Global Stock Returns

Chang, Ran; Peng, Lin - 2022

We introduce a novel social media sentiment measure, the video sentiment index (VSI), created from over nine billion popular user-generated videos across 48 countries. VSI is significantly associated with mood proxies induced by seasonal factors, cloud coverage, and COVID-related restrictions....

Persistent link: https://www.econbiz.de/10013405790

Prominent numbers, indices and ratios in exchange rate determination and financial crashes : in Economists' models, in the field and in the laboratory

Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - 2009

laboratory. Third, nominalist heuristics are incompatible with expected utility theory which excludes the evaluation stage, and … are also incompatible with prospect theory which assumes that, while the evaluation stage can involve systematic mistakes … model and identify what is a mistake, and b) decision makers can maximise. However, contrary to prospect theory, in the …

Persistent link: https://www.econbiz.de/10003867227

Dynamic Momentum and Contrarian Trading

Dobrynskaya, Victoria - 2017

High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple...

Persistent link: https://www.econbiz.de/10012947228

Essays in Corporate Finance and Institutional Trading

Hu, Gang - 2018

Persistent link: https://www.econbiz.de/10012916630

On Risks and Opportunities in Financial Markets

Lansdorp, Simon - 2013

Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...

Persistent link: https://www.econbiz.de/10013084879

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

Grobys, Klaus - 2017

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...

Persistent link: https://www.econbiz.de/10012964844

Trading Opportunities and the Portfolio Choice of Institutional Investors

Zhang, Terry - 2019

I theoretically and empirically investigate how institutional investors with different holding horizons make investment decisions. Long-term and short-term institutions have persistent differences in their portfolio tilt with short-term institutions more willing to invest in low-return stocks....

Persistent link: https://www.econbiz.de/10012863942