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Are Regime Shift Risks Priced in Asset Markets?

Chourdakis, Kyriakos - 2011

In this paper we introduce a discrete time pricing model for a European call option when the log-return of the underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be priced in the market. The paper shows how to estimate this...

Persistent link: https://www.econbiz.de/10013130931

Misunderstanding Risk and Return?

Lioui, Abraham - 2011

Economy 104(2), 298-345] proposed a methodology based on a VAR(1) process to test Merton's Intertemporal CAPM. Innovations in …

Persistent link: https://www.econbiz.de/10013117546

Volatility in Equilibrium : Asymmetries and Dynamic Dependencies

Bollerslev, Tim; Tauchen, George Eugene; Sizova, Natalia - 2010

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

Persistent link: https://www.econbiz.de/10014190565

Volatility in Equilibrium : Asymmetries and Dynamic Dependencies

Bollerslev, Tim - 2010

Persistent link: https://www.econbiz.de/10013144799

Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns

Dienemann, Fabian - 2020

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Persistent link: https://www.econbiz.de/10012835834

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919

Yield curve momentum

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily due to autocorrelation in yield changes...

Persistent link: https://www.econbiz.de/10012665285

Additional Evidence on Information Variables and Equity Premium Predictability

Chrétien, Stéphane - 2017

This paper presents the most comprehensive out-of-U.S.-sample examination of information variables and equity premium predictability by focusing on Canada to reassess the growing U.S.-based evidence casting doubt on predictability. Using monthly data for 36 variables from 1950 to 2013, we test...

Persistent link: https://www.econbiz.de/10012967389

Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks

Tortorice, Daniel L. - 2014

I consider a consumption based asset pricing model where the consumer does not know if shocks to dividends are stationary (temporary) or non-stationary (permanent). The agent uses a Bayesian learning algorithm with a bias towards recent observations to assign probability to each process. While...

Persistent link: https://www.econbiz.de/10013054127

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063