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Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Empirical Asset Pricing via Machine Learning : The Global Edition

Cakici, Nusret; Zaremba, Adam - 2022

We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...

Persistent link: https://www.econbiz.de/10013306087

Exploring Risk Premium Factors for Country Equity Returns

Calice, Giovanni; Lin, Ming-Tsung - 2021

In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk premia by Giglio and Xiu (2021), we find that several...

Persistent link: https://www.econbiz.de/10013217646

Accounting noise and the pricing of cocos

Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...

Persistent link: https://www.econbiz.de/10011818282

Adaptive Expectations and Commodity Risk Premia

Bianchi, Daniele - 2018

We investigate the determinants of the commodity (ex-ante) risk premia for different maturities through the lens of a model of adaptive learning in which expected future spot prices are revised based on past prediction errors and changes in economic fundamentals. The main results show that risk...

Persistent link: https://www.econbiz.de/10012936088

Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period

Trück, Stefan - 2016

We examine convenience yields and risk premiums in the EU-wide CO<sub>2</sub> emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures...

Persistent link: https://www.econbiz.de/10012976976

Speculator Spreading Pressure and the Commodity Futures Risk Premium

Gong, Yujing - 2020

This paper investigates the impact of speculative trading on the commodity futures risk premium. We focus on speculators' spread positions, and study the asset pricing implications of spreading pressure on the cross-section of commodity futures returns. In an era of financialization of commodity...

Persistent link: https://www.econbiz.de/10012833008

Evidence of Arbitrage Trading Activity : The Case of Chinese Copper Futures Contracts

Brooks, Robert; Li, Yang - 2020

Several unique insights are documented based on a study of copper futures contracts traded in the U.S. and China. Based on our unique measures, we present evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese...

Persistent link: https://www.econbiz.de/10014352078

A Primer on Managing Sovereign Debt-Portfolio Risks

Jonasson, Thordur - 2018

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

Persistent link: https://www.econbiz.de/10012918566

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Zaremba, Adam - 2015

Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized...

Persistent link: https://www.econbiz.de/10013034279