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Fundamental vs. Technical Analysis : News-based Factors and Cryptocurrency Risk Premia

Filippou, Ilias; T. Nguyen, My; Viswanath-Natraj, Ganesh - 2023

This paper investigates the cross-sectional predictive ability of text-based factors in the cryptocurrency market --an important asset class for retail and institutional investors. We employ Bidirectional Encoder Representations from Transformers (BERT) topic modeling to analyze news articles...

Persistent link: https://www.econbiz.de/10014351292

Default Risk Premium and Asset Prices

Corvino, Raffaele - 2020

This paper quantifies the premium demanded by the investors for bearing the corporate default risk. We propose a novel approach that exploits the information in both credit default swap (CDS) spreads and stock prices, using the pricing restrictions provided by a structural model of credit risk....

Persistent link: https://www.econbiz.de/10012856198

Are Item 1A Risk Factors Priced?

Ross, Landon - 2019

Public companies report “the most significant factors that make” their common stock ”speculative or risky” in section “Item 1A. Risk Factors” of their annual filings. This paper uses textual analysis to estimate common risks from Item 1A texts and study these risks' effect on public...

Persistent link: https://www.econbiz.de/10012889988

Liquidity, Distress Risk and Asset Pricing Implications

Zou, Qiqi - 2016

parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between …

Persistent link: https://www.econbiz.de/10012990993

Industry competition, credit spreads, and levered equity returns

Corhay, Alexandre - 2017

This paper examines the relation between industry competition, credit spreads, and levered equity returns. I build a quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms operate in heterogeneous industries that differ...

Persistent link: https://www.econbiz.de/10011721599

Adaptive Economic Beliefs : An Equity Premium Puzzle Solution

Vanoverberghe, Didier - 2011

The Equity risk-premium and volatility puzzles: Is it possible to have a high-equity premium and a low risk-free rate, and a high volatile stock return, have received a great deal of attention but beyond this, the fundamental issues are the following: What are the economic representations that...

Persistent link: https://www.econbiz.de/10013123331

The Levered Equity Risk Premium and Credit Spreads : A Unified Framework

Bhamra, Harjoat Singh - 2010

We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...

Persistent link: https://www.econbiz.de/10013148422

Modeling Credit Spreads Under Multifactor Stochastic Volatility

Marabel Romo, Jacinto - 2014

The empirical tests of traditional structural models of credit risk tend to indicate that such models have been unsuccessful in the modeling of credit spreads. To address these negative findings some authors introduce single-factor stochastic volatility specifications and/or jumps.In the yield...

Persistent link: https://www.econbiz.de/10013063536

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

The Equity Premium With Undiversified Investors and Financial Frictions

Elenev, Vadim; Landvoigt, Tim - 2022

We study the implications of undiversified investors in a production-based asset pricing model with rare disasters. In our model, households experience idiosyncratic shocks to human capital and partially invest their wealth in a single firm with idiosyncratic shocks. The model features tractable...

Persistent link: https://www.econbiz.de/10014236608