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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

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

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

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

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

Bollerslev, Tim - 2012

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

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

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

Option-Implied Information and Predictability of Extreme Returns

Vilkov, Grigory - 2012

market index. The tail loss measure is motivated by the results of the extreme value theory, and it is computed from observed …

Persistent link: https://www.econbiz.de/10013100653

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

Bollerslev, Tim - 2012

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

Variance Risk Premiums and the Forward Premium Puzzle

Londono, Juan M. - 2013

This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other...

Persistent link: https://www.econbiz.de/10013087550

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800