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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis

Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2004

This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period 2000-02. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by...

Persistent link: https://www.econbiz.de/10005662219

Measuring and Modelling Variation in the Risk-Return Trade-off

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

Persistent link: https://www.econbiz.de/10005498159

Dispersion of Opinion and Stock Returns

Goetzmann, William; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

We use a panel of more than 100,000 investor accounts in US stocks over the period 1991-95 to construct an investor-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors...

Persistent link: https://www.econbiz.de/10005067367

Preferred Risk Habitat of Individual Investors

Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007

commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

Persistent link: https://www.econbiz.de/10005067451

Dispersion and Volatility in Stock Returns: An Empirical Investigation

Campbell, John Y; Kim, Sangjoon; Lettau, Martin - C.E.P.R. Discussion Papers - 1998

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios …, within the month. Over the period 1962–95 there has been a noticeable increase in firm-level volatility relative to market …

Persistent link: https://www.econbiz.de/10005662245

Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias

Goetzmann, William; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

implications about the expected relationship between the preponderance of disposition investors in the market and stock volatility … fraction of ‘irrational’ investor trades in a stock increases, stock volatility, return and trading volume decrease. We further …

Persistent link: https://www.econbiz.de/10005791546

Risk Sharing and Industrial Specialization: Regional and International Evidence

Sørensen, Bent E; Yosha, Oved - C.E.P.R. Discussion Papers - 1999

We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested before. Our empirical procedure is summarized as follows. First, we construct a measure of...

Persistent link: https://www.econbiz.de/10005504254

Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium

Lettau, Martin; Wachter, Jessica - C.E.P.R. Discussion Papers - 2005

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a...

Persistent link: https://www.econbiz.de/10005504287

Euler Equation Errors

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2005

Among the most important pieces of empirical evidence against the standard representative agent, consumption-based asset pricing paradigm are the formidable unconditional Euler equation errors the model produces for cross-sections of asset returns. Here we ask whether calibrated leading asset...

Persistent link: https://www.econbiz.de/10005504372

Relating Output and Volatility in a Model of International Risk-Sharing with Limited Commitment

Reichlin, Pietro - C.E.P.R. Discussion Papers - 2006

I study the constrained efficient allocations of a simple model of risk sharing and capital flows across countries assuming that each country cannot commit to fully repay its contract obligations. In the model, the degree of risk sharing and the amount of investment are interdependent. It is...

Persistent link: https://www.econbiz.de/10005504378