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Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real …-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …

Persistent link: https://www.econbiz.de/10014437009

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

Persistent link: https://www.econbiz.de/10011412294

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …

Persistent link: https://www.econbiz.de/10011646407

The predictability of aggregate returns on commodity futures

Lutzenberger, Fabian T. - In: Review of Financial Economics 23 (2014) 3, pp. 120-130

This paper provides evidence that aggregate returns on commodity futures (without the returns on collateral) are predictable, both in-sample and out-of-sample, by various lagged variables from the stock market, bond market, macroeconomics, and the commodity market. Out of the 32 candidate...

Persistent link: https://www.econbiz.de/10010907043

Asian and Australian options: A common perspective

Ewald, Christian-Oliver; Menkens, Olaf; Hung Marten … - In: Journal of Economic Dynamics and Control 37 (2013) 5, pp. 1001-1018

We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this “Australian approach” leads to a natural dimension...

Persistent link: https://www.econbiz.de/10011051870

Time series momentum

Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of Financial Economics 104 (2012) 2, pp. 228-250

We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of...

Persistent link: https://www.econbiz.de/10011039243

The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study

Siddiqi, Hammad - In: Journal of Economic Psychology 33 (2012) 1, pp. 19-29

reduced, the risk neutral and risk averse hypotheses outperform the hypothesis of thinking-by-analogy. Regardless of the …

Persistent link: https://www.econbiz.de/10010577310

Insider Trading in Credit Derivatives

Acharya, Viral V; Johnson, Tim - C.E.P.R. Discussion Papers - 2005

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...

Persistent link: https://www.econbiz.de/10005666591

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - C.E.P.R. Discussion Papers - 2003

Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk … measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing … variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. …

Persistent link: https://www.econbiz.de/10005136483