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Endogenous Market Thinness and Stock Price Volatility
Pagano, Marco - C.E.P.R. Discussion Papers - 1986
resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …
Persistent link: https://www.econbiz.de/10005662005
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C-CAPM and the Cross-Section of Sharpe Ratios
Söderlind, Paul - C.E.P.R. Discussion Papers - 2003
This Paper studies whether the consumption-based asset-pricing model can explain the cross-section of Sharpe ratios. The constant relative risk aversion (CRRA) model and several extensions (habit persistence, recursive utility and idiosyncratic shocks) all imply that the Sharpe ratio is linearly...
Persistent link: https://www.econbiz.de/10005791769
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Macroeconomic Influences on Optimal Asset Allocation
Flavin, Thomas; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2002
We develop a tactical asset allocation strategy that incorporates the effects of macroeconomic variables. The joint distribution of financial asset returns and the macroeconomic variables is modelled using a VAR with an M-GARCH error structure. As a result the portfolio frontier is time varying...
Persistent link: https://www.econbiz.de/10005124166
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Market Liquidity and Funding Liquidity
Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2007
related to volatility, (iv) is subject to 'flight to quality', and (v) comoves with the market, and it provides new testable …
Persistent link: https://www.econbiz.de/10005067436
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Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
Pesaran, M Hashem; Zaffaroni, Paolo - C.E.P.R. Discussion Papers - 2005
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10005067642
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Risk Management with Benchmarking
Basak, Suleyman; Shapiro, Alex; Teplá, Lucie - C.E.P.R. Discussion Papers - 2005
Portfolio theory must address the fact that, in reality, portfolio managers are evaluated relative to a benchmark, and …
Persistent link: https://www.econbiz.de/10005114400
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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...
Persistent link: https://www.econbiz.de/10005123557
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Modelling Scale-Consistent VaR with the Truncated Lévy Flight
Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2001
augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …-day volatility, precisely a ?-root-of-time rule, where ? is the characteristic parameter of the process. We use this rule to forecast … future volatility and as a result estimate Value-at-Risk (VaR) several days ahead and compare it to the RiskMetricsTM (1996 …
Persistent link: https://www.econbiz.de/10005792337
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The Costs of Inflation: Some Theoretical Issues
Hardman Moore, John - C.E.P.R. Discussion Papers - 1984
Although for the most part this paper is concerned with others' work, it is not a survey of the literature. Notable omissions are: the shoe-leather effect, the Tobin effect, the real effects of nominal (government) institutions. The first part looks at the relationship between inflation,...
Persistent link: https://www.econbiz.de/10005792034
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With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression
Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2002
Asset price inflation presents central banks with a puzzle. I examine the case of Germany, 1925-7, when the Reichsbank intervened to bring down stock prices, rectify imbalances and curb speculation. Present value relations, comparisons with historical valuation measures and the time-series...
Persistent link: https://www.econbiz.de/10005792124