Publications des institutions partenaires
Implied and Realized Volatility in the Cross-Section of Equity Options
Using a complete sample of US equity options, we analyze pat-
terns of implied volatility in the cross-section of equity options with
respect to stock characteristics. We find that high-beta stocks, small
stocks, stocks with a low-market-to-book ratio, and non-momentum
stocks trade at higher implied volatilities after controlling for histor-
ical...
Institution partenaire
English / 01/09/2009
Gain better protection over assets
http://www.cpf.gov.sg/imsavvy/infohub_article.asp?readid={745918165-2644-6052212714}
Institution partenaire
English / 20/07/2009
An Extended Stein's Lemma for Asset Pricing
Stein's lemma is extended to the case where asset returns have skewed and leptokurtic distributions. The risk premium is still the negative of the covariance of the excess return with the log stochastic discount factor. The risk-neutral distribution has a simple form but is a nontrivial transformation of the physical distribution.
Institution partenaire
English / 24/06/2009
Do Implied Volatilities Predict Stock Returns?
Using a complete sample of US equity options, we find a positive,
highly significant relation between stock returns and lagged implied
volatilities. The results are robust after controlling for a number of
factors such as firm size, market value, analyst recommendations and
different levels of implied volatility. Lagged historical volatility is - in
...
Institution partenaire
English / 09/06/2009
Why disagreement may not matter (much) for asset prices
A simple consumption-based two-period model is used to study the (theoretical) effects of disagreement on asset prices. Analytical and numerical results show that individual uncertainty has a much larger effect on risk premia than disagreement if (i) the risk aversion is reasonably high and (ii) individual uncertainty is not much smaller than disagreement. Evidence from survey data...
Institution partenaire
English / 01/06/2009
Asymmetric Dependence Patterns in Financial Time Series
This paper proposes a new copula-based approach to test for asymmetries in the dependence structure of ¯nancial time series. Simply splitting observations into subsamples and comparing conditional correlations leads to spurious results due to the well-known conditioning bias. Our suggested framework is able to circumvent these problems. Applying our test to market data, we...
Institution partenaire
English / 29/05/2009
The Performance of Actively and Passively Managed Swiss Equity Funds
Using a Switzerland-specific Carhart model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to a theoretical index. For a sample of 160 funds with 13'672 monthly observations we find that...
Institution partenaire
English / 09/01/2009
An Empirical Analysis of Multivariate Copula Models
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas which sufficiently capture
the characteristics of financial returns. For this reason...
Institution partenaire
English / 01/01/2009
Monetary Policy Effects on Financial Risk Premia
Institution partenaire
English / 01/12/2008
Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach
We use Markov Chain Monte Carlo (MCMC) methods for the parameter estimation and testing of conditional asset pricing models. In contrast to traditional approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is not necessary. Moreover, the approach has exact finite sample properties and accounts for errors-...
Institution partenaire
English / 01/06/2008
Tactical Industry Allocation and Model Uncertainty
We use Bayesian model averaging to analyze the sample evidence on industry return predictability within the U.S. stock market in the presence of model uncertainty. The posterior analysis shows the importance of in.ation and earnings yield in predicting industry returns. The analysis shows that the out-of-sample performance of the Bayesian approach is, in general, superior to that of...
Institution partenaire
English / 01/05/2008
Simulation-Based Pricing of Convertible Bonds
We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world...
Institution partenaire
English / 12/02/2008
When Investors Enjoy Less Policy Risk: Divided Government, Economic Policy Change, and Stock Market Volatility in Germany, 1970-2005
How does divided government affect the probability of economic policy change, and thus policy risk on financial markets? In contrast to the standard balancing model we argue that divided government, i.e., partisan conflict between the executive and the legislative branches, negatively affects the possibility of economic policy change. Using a simple spatial model we demonstrate that...
Institution partenaire
English / 01/01/2008
Impact of Fund Size and Fund Flows on Hedge Fund Performance
Capacity issues based on large inflows in well-performing hedge funds are among the most frequently discussed concerns in the hedge fund industry. In this article the impact of asset flows and fund sizes on hedge fund and CTA performance is investigated. The findings confirm the legitimacy of investor concerns regarding capacity issues in the hedge fund industry. The results of the...
Institution partenaire
English / 01/01/2008
Risk Factors for the Swiss Stock Market
The four risk factors controlling for the market, size, value, and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized risk factors are country-specific. For these reasons, this paper develops and analyses these factors for the Swiss stock market from January 1990...
Institution partenaire
English / 01/01/2008
Investment Performance of Swiss Pension Funds and Investment Foundations
We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. Our sample consists of 73 pension funds and 13 investment foundations with total assets of more than CHF 200 billion. We find some indications for superior skills of security selection and timing by pension funds in...
Institution partenaire
English / 01/01/2008
Ambiguity Aversion and the Term Structure of Interest Rates
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk premium of affine yield curve models. The ambiguity premium can be large even in the simplest...
Institution partenaire
English / 31/07/2007
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