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We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...
Persistent link: https://www.econbiz.de/10012902142
A firm's patent-to-market (PTM) ratio refers to the percentage of a firm's market value that is attributable to its patent market value. A hedging portfolio based on PTM ratio generates a monthly return of 71 basis points. The CAPM cannot be rejected for firms with low PTM ratios, but is...
Persistent link: https://www.econbiz.de/10012907866
We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of EDGAR, which induces a reduction in investor disagreement with no accompanying changes in company fundamentals, disclosure quality, or...
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I examine whether connected firms in the knowledge network also face additional types of risks while experiencing a net positive R&D spillover effect, as in Bloom, Schankerman, and Van Reenen (2013). Developing a measure of firm connectivity, I find that highly connected firms earn 6.6%-7.6%...
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