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Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK

Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in … holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii … lower expected volatility. UK investors should avoid callable notes and choose notes with a longer time to maturity, where …

Persistent link: https://www.econbiz.de/10013471220

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Persistent link: https://www.econbiz.de/10012628441

Bond risk premia in consumption‐based models

Creal, Drew; Wu, Jing Cynthia - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1461-1484

conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We …

Persistent link: https://www.econbiz.de/10012316725

Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors

Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid …-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …

Persistent link: https://www.econbiz.de/10012302569

Is idiosyncratic risk conditionally priced?

Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 625-646

his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …

Persistent link: https://www.econbiz.de/10012598449

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

Portfolio constraints : an empirical analysis

Abate, Guido; Bonafini, Tommaso; Ferrari, Pierpaolo - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-20

, including classical weight, flexible, norm-based, variance-based, tracking error volatility, and beta constraints. We employed …

Persistent link: https://www.econbiz.de/10012804902

Deep arbitrage-free learning in a generalized HJM framework via arbitrage-regularization

Kratsios, Anastasis; Hyndman, Cody - In: Risks : open access journal 8 (2020) 2/40, pp. 1-30

A regularization approach to model selection, within a generalized HJM framework, is introduced, which learns the closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one-parameter family of computationally tractable penalized...

Persistent link: https://www.econbiz.de/10012204431

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

Persistent link: https://www.econbiz.de/10012872607

Idiosyncratic risk volatility : stock price informativeness or price error?

Widianingsih, Yuni Pristiwati Noer; Setiawan, Doddy - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-14

Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study is the first … information environment and idiosyncratic volatility by using a sample of 499 companies listed on the Indonesia Stock Exchange … dependent variable was idiosyncratic volatility, and the independent variable used an information environment consisting of …

Persistent link: https://www.econbiz.de/10013471004