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The Conditional CAPM Explains the Value Premium

Bali, Turan G. - 2014

This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The conditional alphas on the value-minus-growth portfolio are estimated to be economically and...

Persistent link: https://www.econbiz.de/10013065048

Characteristic Function-Based Estimation of Affine Option Pricing Models

Dillschneider, Yannick - 2019

In this paper, we derive explicit expressions for certain joint moments of stock prices and option prices within a …-neutral parameters of affine stochastic volatility models using observed individual option prices. Moreover, the moment expressions may … be used to include option price information into other existing moment-based estimation approaches …

Persistent link: https://www.econbiz.de/10012893546

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

Persistent link: https://www.econbiz.de/10011410917

The term structure of equity and variance risk premia

Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure against volatility risk increases after a market drop. This...

Persistent link: https://www.econbiz.de/10011899885

Decomposing Long Bond Returns : A Decentralized Modeling Approach

Carr, Peter - 2020

This paper develops a decentralized theory that determines the fair value of the yield-to-maturity of a bond or bond portfolio based purely on the near-term dynamics of the yield itself. The theory decomposes the yield into three components: its expected change, its risk premium, and its...

Persistent link: https://www.econbiz.de/10012848388

Decomposing the VIX : Implications for the Predictability of Stock Returns

Chow, Victor - 2020

The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market return distribution under the risk-neutral measure. This paper formulates the VIX as a linear decomposition of four fundamentally different elements: the realized variance...

Persistent link: https://www.econbiz.de/10012855651

GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices

Dillschneider, Yannick; Maurer, Raimond - 2021

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the state vector prevents or at least severely impedes their...

Persistent link: https://www.econbiz.de/10013251661

Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Flint, Emlyn James - 2019

At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...

Persistent link: https://www.econbiz.de/10012893987

Decomposing differences in arithmetic means : a doubly-robust estimation approach

Kaiser, Boris - 2013

When decomposing differences in average economic outcome between two groups of individuals, it is common practice to base the analysis on logarithms if the dependent variable is nonnegative. This paper argues that this approach raises a number of undesired statistical and conceptual issues...

Persistent link: https://www.econbiz.de/10010207379

Sample Selection Model for Protest Votes in Contingent Valuation Analyses

Calia, Pinuccia; Strazzera, Elisabetta - 2003

Respondents of contingent valuation surveys may place a null value on the public good, for reasons that differ from a genuine indifference to the good, but that can be interpreted as a "protest": either against the interview, or the public management, or both. A good survey design can...

Persistent link: https://www.econbiz.de/10014172838