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Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …

Persistent link: https://www.econbiz.de/10012101166

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …

Persistent link: https://www.econbiz.de/10013115149

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …

Persistent link: https://www.econbiz.de/10013109053

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Zhou, Hao - 2012

This paper presents predictability evidence of the implied-expected variance difference, or variance risk premium, for financial market risk premia: (1) the variance difference measure predicts a positive risk premium across equity, bond, currency, and credit markets; (2) such a short-run...

Persistent link: https://www.econbiz.de/10013117074

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Zhou, Hao - 2018

This paper reviews the predictability evidence of the variance risk premium: (1) it predicts significant positive risk premiums across equity, bond, currency, and credit markets; (2) the predictability peaks at a few month horizons and dies out afterwards; (3) such a short-run predictability is...

Persistent link: https://www.econbiz.de/10012940510

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977

Gambling, risk appetite and asset pricing

Carvalho, Carlos Viana de; Cordeiro, Daniel; Ribeiro, … - 2018 - This version: March 2018

conditional CAPM, explains crosssectional differences in future returns for portfolios sorted on various characteristics, and …

Persistent link: https://www.econbiz.de/10011817098

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667

Corporate Bond Moments and Predictability of Equity Returns

Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu - 2023

We document that the first and third cross-sectional moments of corporate bond returns significantly and positively predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and gradual diffusion of information. Particularly, the...

Persistent link: https://www.econbiz.de/10014257015