Showing 1 - 10 of 518
We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
Cross-country evidence is presented on resource dependence and the link between volatility and growth. First, growth … depends negatively on volatility of unanticipated output growth independent of initial income per capita, the average … growth. Second, the adverse effect of resources on growth operates primarily through higher volatility. The positive effect …
Persistent link: https://www.econbiz.de/10005123919
We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market...
Persistent link: https://www.econbiz.de/10005656282
and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of …
Persistent link: https://www.econbiz.de/10005791800
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...
Persistent link: https://www.econbiz.de/10008466351
This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We...
Persistent link: https://www.econbiz.de/10005791523
return volatility. We argue that SDF theory implies that this relation is misconceived. …
Persistent link: https://www.econbiz.de/10005792185
Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …
Persistent link: https://www.econbiz.de/10005498195
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...
Persistent link: https://www.econbiz.de/10011083289
, and volatility risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673