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Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Persistent link: https://www.econbiz.de/10011751251

The pricing of sentiment risk in European stock markets

Keiber, Karl Ludwig; Samyschew, Helene - 2016

This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is...

Persistent link: https://www.econbiz.de/10011491776

International characteristic-based asset pricing

Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019

In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...

Persistent link: https://www.econbiz.de/10012387428

Strong vs. Stable : The Impact of ESG Ratings Momentum and Their Volatility on the Cost of Equity Capital

Berk, Ian; Guidolin, Massimo; Magnani, Monia - 2023

” (identified as the volatility of the scores over a period of time), measured around a given slope. We find that 1-month, short … risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility …

Persistent link: https://www.econbiz.de/10014350000

The Black-Litterman Model : The Definition of Views Based On Volatility Forecasts

Duqi, Andi - 2016

formulate a volatility forecast of returns used as an input for determining some subjective views to be included in the Black …

Persistent link: https://www.econbiz.de/10012998423

Responsible Investing : ESG Ratings and the Cross-Section of International Stock Returns

Cakici, Nusret; Zaremba, Adam - 2022

Does socially responsible investing pay off? The investigation of 49 developed and emerging markets indicates that environmental, social, and governance ratings negatively predict future stock returns. A decile of global stocks with the highest ESG scores underperforms their low-rated...

Persistent link: https://www.econbiz.de/10013322426

Forward Backward Stochastic Model of Financial Asset Pricing with Idiosyncratic Noise

Levin, Pavel - 2021

distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

Persistent link: https://www.econbiz.de/10013225759

A Bayesian stochastic discount factor for the cross-section of individual equity options

Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …

Persistent link: https://www.econbiz.de/10015204018

Variance Premiums in an Equilibrium Model with Two Stochastic Volatility Factors

Zhu, Cai - 2013

Variance premium is studied under a discrete-time consumption-based equilibrium model, with two stochastic volatility …. The implication of the model is that variance premium term structure contains information about two underlying volatility …

Persistent link: https://www.econbiz.de/10013079942

The Nexus of Asset Pricing, Volatility and the Business Cycle

Roy, Rahul; Santhakumar, Shijin - 2021

Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the … realized volatility measure for the GARCH-type models.Findings: The comprehensive empirical investigation led to the following … estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any …

Persistent link: https://www.econbiz.de/10013211332