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Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

Persistent link: https://www.econbiz.de/10011288797

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Filipović, Damir; Pasricha, Puneet - 2022

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Persistent link: https://www.econbiz.de/10014236083

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Baltas, Nick - 2019

a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional … CAPM. However, in contrast to the empirical literature, the authors cannot always recover the required signs in their cross …

Persistent link: https://www.econbiz.de/10012898606

Machine Learning Predictions of Credit and Equity Risk Premia

Kita, Arben - 2021

The emergence of algorithmic high-frequency trading in the market for credit risk affords accurate inference of new risk measures. When combined with machine learning predictive methods, these measures forecast substantial future changes in firms' credit and equity risk premiums in...

Persistent link: https://www.econbiz.de/10013240829

Risks versus Mispricing : Decomposing Asset pricing Anomalies via Classification

Han, Xiao - 2021

I use classification-based machine-learning methods to decompose 32 anomaly payoffsinto risk exposures and mispricing. The component driven by risk earns statistically insignificantreturns, despite its efficacy in explaining the time-series variation in anomaly payoffs.The mispricing component...

Persistent link: https://www.econbiz.de/10013251341

Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry

Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

Persistent link: https://www.econbiz.de/10011345060

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...

Persistent link: https://www.econbiz.de/10010203684

Predictability of Currency Carry Trades and Asset Pricing Implications

Bakshi, Gurdip - 2012

This paper studies the time-series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the U.S. dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict...

Persistent link: https://www.econbiz.de/10013113110

Levered Noise and the Limits of Arbitrage Pricing : Implications for the Term Structure of Equity Risk Premia

Boguth, Oliver - 2019

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication requires offsetting positions with similar fundamentals. This occurs because fundamentals are hedged, while any errors in the underlying asset prices are levered and amplified....

Persistent link: https://www.econbiz.de/10012905818