Similar Search Results

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

Predicting Premiums for the Market, Size, Value, and Momentum Factors

Steiner, Michael - 2009

This paper studies the out-of-sample predictability of the monthly market as well as size, value, and momentum premiums. We use a sample from each the US and the Swiss stock market between 1989 and 2007. Our Swiss sample provides an important new perspective as the repeated evaluation of the...

Persistent link: https://www.econbiz.de/10013155991

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

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

Predicting Premiums for the Market, Size, Value, and Momentum Factors

Steiner, Michael - 2010

This paper investigates the out-of-sample predictability of monthly market as well as size, value, and momentum premiums. We use a sample from each of the US and the Swiss stock markets between 1989 and 2007. Using the Swiss sample provides an important new perspective as the repeated evaluation...

Persistent link: https://www.econbiz.de/10013142118

Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment

Gao, Can; Martin, Ian - 2021

We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy to hold the market. The lower bound was...

Persistent link: https://www.econbiz.de/10012489383

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2014

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...

Persistent link: https://www.econbiz.de/10010409922

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Persistent link: https://www.econbiz.de/10011434566

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

Can Internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009355522