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The Term Structure of the Price of Variance Risk

Andries, Marianne - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10013018005

The Skew Risk Premium in the Equity Index Market

Kozhan, Roman - 2019

We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps can be used to explore the relationship between the implied variance in option prices and realized variance, so too can skew swaps be used to explore the relationship between...

Persistent link: https://www.econbiz.de/10012906107

Variance Trading and Market Price of Variance Risk

Bondarenko, Oleg - 2014

This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The...

Persistent link: https://www.econbiz.de/10013067300

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Securitization and asset prices

Aksoy, Yunus; Basso, Henrique S. - 2015

During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more...

Persistent link: https://www.econbiz.de/10010479921

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Persistent link: https://www.econbiz.de/10011410917

Low risk anomalies?

Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019

This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require …

Persistent link: https://www.econbiz.de/10012134221

The risk premium channel and long-term growth

Schumacher, Malte Daniel; Żochowski, Dawid - 2017

We study a quantitative DSGE model linking a state of the art asset pricing framework à la Kung and Schmid (2015) with a constraint on leverage as in Gertler and Kiyotaki (2010). We show that a mere increase in the probability of firms being financially constrained leads to an increase in risk...

Persistent link: https://www.econbiz.de/10011756564

Climate change financial risks : pricing and portfolio allocation

Karydas, Christos; Xepapadeas, Anastasios - 2019 - This version: October 2019

climate-related events. Using theory and simulations we study the implications of the imminent threat of climate change on …

Persistent link: https://www.econbiz.de/10012138106

Clustering-based sector investing

Bagnara, Matteo; Goodarzi, Milad - 2023

multiple operations, we employ a clustering approach on 69 firm characteristics and allocate companies to novel economic … to quantify feature importance for clustering methods, finding that size drives differences across classical industries … while book-to-market and financial liquidity variables matter for clustering-based sectors. …

Persistent link: https://www.econbiz.de/10014318392

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