Similar Search Results

‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns

Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

Persistent link: https://www.econbiz.de/10009248845

Optimal asset management for pension funds

Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach: we apply the stochastic...

Persistent link: https://www.econbiz.de/10005858533

Human vs. machine: Disposition effect among algorithmic and human day traders

Liaudinskas, Karolis - 2022

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

Persistent link: https://www.econbiz.de/10013373836

Financialization in commodity markets

Chari, Varadarajan V.; Christiano, Lawrence J. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012030340

International Price and Earnings Momentum

Leippold, Markus; Lohre, Harald - National Centre of Competence in ResearchFinancial … - 2008

We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...

Persistent link: https://www.econbiz.de/10005868982

The bond agio premium

Güntner, Jochen; Karner, Benjamin - 2023

Bonds issued in high and low interest-rate environments often list at different prices despite very similar characteristics. From a risk-neutral investor's perspective, higher current prices imply higher losses in case of default, which must be compensated, if markets are efficient. We call this...

Persistent link: https://www.econbiz.de/10014517432

Liquidity Shocks and Stock Market Reactions

Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

Persistent link: https://www.econbiz.de/10010500241

Asset Liquidity in Monetary Theory and Finance: A Unified Approach

Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019

Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...

Persistent link: https://www.econbiz.de/10012655877

Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19

Bazzana, Davide; Colturato, Michele; Savona, Roberto - 2021

We model the learning process of market traders during the unprecedented COVID-19 event. We introduce a behavioral heterogeneous agents' model with bounded rationality by including a correction mechanism through representativeness (Gennaioli et al., 2015). To inspect the market crash induced by...

Persistent link: https://www.econbiz.de/10012665609

Equilibrium Driven by Discounted Dividend Volatility

Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009

We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary … characteristic of the aggregate dividendprocess that we call the ”rate of discounting volatility” and showthat, in equilibrium, the … size of market price of risk is determined bythe market price of discounted dividend volatility (DDV), discountedat that …

Persistent link: https://www.econbiz.de/10005868698