We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

InvestorLit is a subscription service providing reviews of institutional investment literature. The reviews cover a wide range of investment topics and are published on their website. Bruce Grantier, Founder of InvestorLit, is a member of the Brandes Institute Advisory Board. Members of the...

Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between...

This paper studies exchange-traded funds’ (ETFs) price impact in the most ETF-dominatedasset classes: volatility (VIX) and commodities. I propose a model-independent approach to replicate the VIX futures contract. This allows me to isolate a non-fundamental component in VIX futures prices that...

We overview exchange-traded funds and notes mechanism and market. We consider different classes of ETFs: long, short, unleveraged, leveraged. We show tables and graphs of leveraged and short ETF behaviors for up and down moves for educational purposes. We describe historical behavior of several...

We show that the stochastic dominance (SD) approach to the valuation of index options in frictionless markets allows the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and volatility dynamics for a wide class of stochastic volatility...

Four times a year, Eurodollar futures contracts are settled by cash to a final settlement price that is tied to spot three-month LIBOR. The LIBOR used in the settlement is determined by the Chicago Mercantile Exchange after conducting two surveys of major banks on the last hour of settlement....

We analyze the benefit to the insured of newly traded, innovative life insurance contracts. On a sequence of yearly reference days, the insured can choose between a guaranteed return (linked to the insurer's asset result) and a capped index participation. The cap is adjusted at the beginning of...