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Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

price of risk, and factors that are both. The estimators explicitly allow for time varying prices of risk, time varying … significant prices of risk which are found to be quantitatively more important than time varying betas in reducing pricing errors. …

Persistent link: https://www.econbiz.de/10011186634

The Wealth-Consumption Ratio

Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …

Persistent link: https://www.econbiz.de/10011083953

Are Retail Traders Compensated for Providing Liquidity?

Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...

Persistent link: https://www.econbiz.de/10011096103

Liquidity Risk, Leverage and Long-Run IPO Returns

Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily … constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

Persistent link: https://www.econbiz.de/10005124287

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002

This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...

Persistent link: https://www.econbiz.de/10005136650

Sources of Risk in Currency Returns

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the … total currency risk over horizons of one to three months. …

Persistent link: https://www.econbiz.de/10011083487

Factor Based Index Tracking

Corielli, Francesco; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

Index tracking requires building a portfolio of stocks (a replica) whose behaviour is as close as possible to that of a given stock index. Typically, much fewer stocks should appear in the replica than in the index, and there should be no low frequency (persistent) components in the tracking...

Persistent link: https://www.econbiz.de/10005666958

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

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … 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

Model Uncertainty, Thick Modelling and the Predictability of Stock Returns

Aiolfi, Marco; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2003

Recent financial research has provided evidence on the predictability of asset returns. In this Paper we consider the results contained in Pesaran-Timmerman (1995), which provided evidence on predictability of excess returns in the US stock market over the sample 1959-92. We show that the...

Persistent link: https://www.econbiz.de/10005661774

Spot and Forward Volatility in Foreign Exchange

Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2010

This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward...

Persistent link: https://www.econbiz.de/10008553071