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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...
Persistent link: https://www.econbiz.de/10010249730
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The impact of the financial crisis and natural catastrophes on CAT bonds
Gürtler, Marc; Hibbeln, M.; Winkelvos, C. - 2012
CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react after the financial crisis or a natural catastrophe....
Persistent link: https://www.econbiz.de/10009615124
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Extreme inflation and time-varying expected consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2022 - This version: January 3, 2022
alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …
Persistent link: https://www.econbiz.de/10012797771
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Extreme inflation and time-varying consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2019
way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …
Persistent link: https://www.econbiz.de/10012000570
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Extreme weather risk and the cost of equity
Braun, Alexander; Braun, Julia; Weigert, Florian - 2023
We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S....
Persistent link: https://www.econbiz.de/10014456106
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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental …
Persistent link: https://www.econbiz.de/10011506352
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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. A comparable …
Persistent link: https://www.econbiz.de/10010491152
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …
Persistent link: https://www.econbiz.de/10010412353
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Such a …
Persistent link: https://www.econbiz.de/10010388611