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Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013

more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …

Persistent link: https://www.econbiz.de/10011083650

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015

We provide new empirical evidence concerning the contentious debate over the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital regulations, alter financial institutions’...

Persistent link: https://www.econbiz.de/10011186617

Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007

a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …

Persistent link: https://www.econbiz.de/10005123999

Investors' horizons and the Amplification of Market Shocks

Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010

After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...

Persistent link: https://www.econbiz.de/10008683532

Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed

Campbell, Rachel; Graddy, Kathryn; Hamilton, Jonathan - C.E.P.R. Discussion Papers - 2009

This paper proposes an alternative specification for the second stage of the Case-Shiller repeat sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method...

Persistent link: https://www.econbiz.de/10005034752

Understanding Index Option Returns

Broadie, Mark; Chernov, Mikhail; Johannes, Michael - C.E.P.R. Discussion Papers - 2007

the Black-Scholes model. Moreover, simple stochastic volatility models with no risk premia generate put returns across all …, and we find that these returns are not inconsistent with explanations such as jump risk premia, Peso problems, and … estimation risk. …

Persistent link: https://www.econbiz.de/10005661467

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2004

We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are...

Persistent link: https://www.econbiz.de/10005791800

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010

-step estimators such as continuously updated GMM yield numerically identical values for prices of risk, pricing errors, Jensen …

Persistent link: https://www.econbiz.de/10008466351

Agricultural Decisions after Relaxing Credit and Risk Constraints

Karlan, Dean S.; Osei, Robert; Osei-Akoto, Isaac; Udry, … - C.E.P.R. Discussion Papers - 2012

to farmer investment is uninsured risk: when provided with insurance against the primary catastrophic risk they face … basis risk associated with the index insurance, and with imperfect trust that promised payouts will be delivered. …

Persistent link: https://www.econbiz.de/10011083318

Macroinsurance for Microenterprises: A Randomized Experiment in Post-Revolution Egypt

McKenzie, David - C.E.P.R. Discussion Papers - 2014

that, contrary to what they profess, macroeconomic and political risk is not inhibiting the investment behavior of …

Persistent link: https://www.econbiz.de/10011084029