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Fool's Errand? Robust Identification of Risk Premia and Expectations in Asset Prices

Guimaraes, Rodrigo - 2016

In this paper I show that the difficulty in estimating unconditional means from time series data alone is the cause for the lack of robustness in empirical estimates of the workhorse model in macro-finance. Using US and UK yield curve data and an extensive Monte Carlo study I show that using...

Persistent link: https://www.econbiz.de/10013006567

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: Economic research 32 (2019) 1,4, pp. 3987-4014

Persistent link: https://www.econbiz.de/10012405739

On the relationship of information processes and asset price processes

Lüders, Erik; Peisl, Bernhard - 2000

Persistent link: https://www.econbiz.de/10001450621

The Relation Between Expected Returns, Realized Returns, and Firm Risk Characteristics

Botosan, Christine; Plumlee, Marlene; Wen, He Jennifer - 2015

Existing literature employs two approaches to assess the validity of alternative proxies for firm-specific cost of equity capital. One approach relies on the theoretical link between future realized returns and cost of equity capital, while the second approach relies on the theoretical link...

Persistent link: https://www.econbiz.de/10014183453

Expected Currency Returns and Volatility Risk Premia

Ornelas, José Renato Haas - 2017

This paper addresses the predictive ability of currency volatility risk premium - the difference between an implied and a realized volatility - over US dollar exchange rates using a time series perspective. The intuition is that, when risk aversion sentiment increases, the market quickly...

Persistent link: https://www.econbiz.de/10012968804

Internet Appendix for 'Belief Dispersion in the Stock Market'

Atmaz, Adem - 2017

We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and trading volume. We find that the stock price is convex in...

Persistent link: https://www.econbiz.de/10012956341

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

The Cross-Section of Expected Jumps in Equity Returns

Caporin, Massimiliano - 2019

We investigate how individual equity prices react to stock specific expected jump components. We find that a portfolio buying stocks with negative expected jump component and selling stocks with positive expected jump component earns significant returns, equal to 51 basis points per month.The...

Persistent link: https://www.econbiz.de/10012898429

Insights on the Global Macro-Finance Interface : Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns

Morana, Claudio - 2014

This study contributes to the investigation of the macro- finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specifi cation of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as...

Persistent link: https://www.econbiz.de/10013061549