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Downside Risks and the Price of Variance Uncertainty

Lorenz, Friedrich - 2019

This paper studies the role of generalized disappointment aversion (GDA) in reconciling several asset-pricing puzzles in models of long-run risks. To fully capture the nonlinearities introduced by these preferences, we solve the model globally with projection. This allows us to scrutinize the...

Persistent link: https://www.econbiz.de/10012900090

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Baltas, Nick - 2019

a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional … CAPM. However, in contrast to the empirical literature, the authors cannot always recover the required signs in their cross …

Persistent link: https://www.econbiz.de/10012898606

The Skew Risk Premium in the Equity Index Market

Kozhan, Roman - 2019

We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps can be used to explore the relationship between the implied variance in option prices and realized variance, so too can skew swaps be used to explore the relationship between...

Persistent link: https://www.econbiz.de/10012906107

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

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

Low risk anomalies?

Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019

This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require …

Persistent link: https://www.econbiz.de/10012134221

Climate change financial risks : pricing and portfolio allocation

Karydas, Christos; Xepapadeas, Anastasios - 2019 - This version: October 2019

climate-related events. Using theory and simulations we study the implications of the imminent threat of climate change on …

Persistent link: https://www.econbiz.de/10012138106

An empirical analysis of segmented pricing of bond systematic risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464

Persistent link: https://www.econbiz.de/10010433255

Carry Trade Returns and Segmented Risk Pricing

Schulze, Gordon - 2019

The returns to carry trades are controversially discussed as there seems to be no unifying risk-based explanation of currency returns and stock returns. This paper addresses carry trade returns from a risk pricing perspective and examines if these returns can be connected to persistent...

Persistent link: https://www.econbiz.de/10012900009

Predicting Bond Betas Using Macro-Finance Variables

Aslanidis, Nektarios - 2018

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables...

Persistent link: https://www.econbiz.de/10012934945