In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing methodology on higher-moment swaps and estimate the excess returns for variance and skewness swaps. I also introduce new methodology for kurtosis swaps. The expected excess returns...

This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and...

Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich...

Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the...

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of disaster to shed light on the frequency and size of...

The investment industry was severely affected by the global financial crisis of 2007–2009, and changes will have to occur. In this monograph, investment industry players, observers, recruiters, and academics are asked to offer their opinions and ideas about what they think the most profound...