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Estimating the Implied Risk Neutral Density 估计隐含风险中性密度
New York University Stern School of Business Research Paper Series Pub Date : 2008-07-30 DOI: 10.1093/acprof:oso/9780199549498.003.0015
Stephen Figlewski
{"title":"Estimating the Implied Risk Neutral Density","authors":"Stephen Figlewski","doi":"10.1093/acprof:oso/9780199549498.003.0015","DOIUrl":"https://doi.org/10.1093/acprof:oso/9780199549498.003.0015","url":null,"abstract":"The market's risk neutral probability distribution for the value of an asset on a future date can be extracted from the prices of a set of options that mature on that date, but two key technical problems arise. In order to obtain a full well-behaved density, the option market prices must be smoothed and interpolated, and some way must be found to complete the tails beyond the range spanned by the available options. This paper develops an approach that solves both problems, with a combination of smoothing techniques from the literature modified to take account of the market's bid-ask spread, and a new method of completing the density with tails drawn from a Generalized Extreme Value distribution. We extract twelve years of daily risk neutral densities from S&P 500 index options and find that they are quite different from the lognormal densities assumed in the Black-Scholes framework, and that their shapes change in a regular way as the underlying index moves. Our approach is quite general and has the potential to reveal valuable insights about how information and risk preferences are incorporated into prices in many financial markets.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130653943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 237
Evolving Technologies and Standards Regulation 不断发展的技术和标准监管
New York University Stern School of Business Research Paper Series Pub Date : 2008-04-01 DOI: 10.2139/ssrn.1120862
Luís M. B. Cabral, D. Salant
{"title":"Evolving Technologies and Standards Regulation","authors":"Luís M. B. Cabral, D. Salant","doi":"10.2139/ssrn.1120862","DOIUrl":"https://doi.org/10.2139/ssrn.1120862","url":null,"abstract":"The EU mandated a single standard for second generation wireless telecommunications, whereas the US allowed several incompatible standards to battle for market share. Motivated by this example, we argue that a single standard leads to a free riding problem, and thus to a significant decrease in marginal incentives for R&D investment. In this context, keeping two separate standards may be a necessary evil to sustain a high level of R&D expenditures. We also provide conditions such that a non-standardization equilibrium is better for consumers and for society as a whole.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129431008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 72
The Role of Competition Policy in the Promotion of Economic Growth 竞争政策在促进经济增长中的作用
New York University Stern School of Business Research Paper Series Pub Date : 2008-03-01 DOI: 10.2139/SSRN.1129833
L. White
{"title":"The Role of Competition Policy in the Promotion of Economic Growth","authors":"L. White","doi":"10.2139/SSRN.1129833","DOIUrl":"https://doi.org/10.2139/SSRN.1129833","url":null,"abstract":"This essay discusses the role that competition policy can play in promoting economic growth. The essay begins by outlining the main components of modern antitrust policy. The essay then discusses the major aspects of an economy that contribute to economic growth and shows the ways that competition policy can favorably influence economic growth. Next the essay discusses industrial policy, as a set of policies that are in contradiction to competition policy and describes the tensions between them. Finally, the paper discusses the role of economics and economists in the development of competition policy in the U.S. and highlights some major advances in U.S. competition policy (to which economics and economists have contributed), which have made competition policy more consonant with economic efficiency (and economic growth); in addition, some potential improvements that could promote the effectiveness of competition policy even further are proposed.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116725745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Disclosure Timeliness, Insider Trading Opportunities and Litigation Consequences 披露及时性、内幕交易机会和诉讼后果
New York University Stern School of Business Research Paper Series Pub Date : 2008-02-01 DOI: 10.2139/ssrn.1011759
Mary Brooke Billings
{"title":"Disclosure Timeliness, Insider Trading Opportunities and Litigation Consequences","authors":"Mary Brooke Billings","doi":"10.2139/ssrn.1011759","DOIUrl":"https://doi.org/10.2139/ssrn.1011759","url":null,"abstract":"Prior work indicates that less timely disclosure of negative earnings news increases firms' litigation consequences. Yet, managers' negative news warnings occur relatively infrequently. In this paper, I investigate whether managers' disclosure delays relate to the opportunity to decrease their equity position in the firm and, if so, whether this trading behavior is associated with increased litigation consequences. I find that the managers who are less timely in their disclosure of negative news are more likely to have engaged in abnormal trade prior to the market's receipt of the negative news and that this trading behavior is associated with increased litigation consequences for the firm. Further analysis detects limited repercussions for the managers involved in the trading. Collectively, my findings suggest that research examining managers' disclosure behavior, particularly studies that consider managers' disclosure behavior in the litigation setting, should take into account the influence of managers' trading behavior on both their disclosure decisions and firms' litigation consequences.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126048473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
A GARCH Option Pricing Model with Filtered Historical Simulation 具有滤波历史模拟的GARCH期权定价模型
New York University Stern School of Business Research Paper Series Pub Date : 2008-01-01 DOI: 10.2139/ssrn.603382
G. Barone-Adesi, R. Engle, Loriano Mancini
{"title":"A GARCH Option Pricing Model with Filtered Historical Simulation","authors":"G. Barone-Adesi, R. Engle, Loriano Mancini","doi":"10.2139/ssrn.603382","DOIUrl":"https://doi.org/10.2139/ssrn.603382","url":null,"abstract":"We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model's flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing GARCH pricing models and ad hoc Black-Scholes models. We show that the flexible change of measure, the asymmetric GARCH volatility, and the nonparametric innovation distribution induce the accurate pricing performance of our model. Using a nonparametric approach, we obtain decreasing state-price densities per unit probability as suggested by economic theory and corroborating our GARCH pricing model. Implied volatility smiles appear to be explained by asymmetric volatility and negative skewness of filtered historical innovations.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126566830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 280
Accrual-Based and Real Earnings Management Activities Around Seasoned Equity Offerings 围绕经验丰富的股票发行的权责发生制和真实盈余管理活动
New York University Stern School of Business Research Paper Series Pub Date : 2008-01-01 DOI: 10.2139/ssrn.1081939
D. Cohen, Paul Zarowin
{"title":"Accrual-Based and Real Earnings Management Activities Around Seasoned Equity Offerings","authors":"D. Cohen, Paul Zarowin","doi":"10.2139/ssrn.1081939","DOIUrl":"https://doi.org/10.2139/ssrn.1081939","url":null,"abstract":"We show that SEO firms engage in real activities manipulation, and the decline in post-SEO performance due to the real activities management is more severe than that due to accrual management. Our evidence is important, because it shows that post-SEO operating underperformance is driven not just by accrual reversals, but also reflects the real consequences of operational decisions made to manage earnings. We also show how firms' choices of real versus accrual-based earnings management activities around SEOs vary predictably as a function of the firm's ability to use accrual management and the costs of doing so.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129180960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1963
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance 可变罕见灾害:宏观金融十大难题的精确解框架
New York University Stern School of Business Research Paper Series Pub Date : 2007-12-27 DOI: 10.2139/ssrn.1106298
X. Gabaix
{"title":"Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance","authors":"X. Gabaix","doi":"10.2139/ssrn.1106298","DOIUrl":"https://doi.org/10.2139/ssrn.1106298","url":null,"abstract":"This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset’s fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and thus volatile asset prices and return predictability. Using the recent technique of linearity-generating processes (Gabaix 2007), the model is tractable, and all prices are exactly solved in closed form. In the “variable rare disasters” framework, the following empirical regularities can be understood qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate stock market returns with price-dividend ratios (v) value premium (vi) often greater explanatory power of characteristics than covariances for asset returns (vii) upward sloping nominal yield curve (viiii) a steep yield curve predicts high bond excess returns and a fall in long term rates (ix) corporate bond spread puzzle (x) high price of deep out-of-the-money puts. I also provide a calibration in which those puzzles can be understood quantitatively as well. The fear of disaster can be interpreted literally, or can be viewed as a tractable way to model time-varying risk-aversion or investor sentiment. (JEL: E43, E44, G12)","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123390341","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 960
Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents Rank-1/2:一种改进尾部指数OLS估计的简单方法
New York University Stern School of Business Research Paper Series Pub Date : 2007-09-01 DOI: 10.2139/ssrn.881759
X. Gabaix, R. Ibragimov
{"title":"Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents","authors":"X. Gabaix, R. Ibragimov","doi":"10.2139/ssrn.881759","DOIUrl":"https://doi.org/10.2139/ssrn.881759","url":null,"abstract":"Despite the availability of more sophisticated methods, a popular way to estimate a Pareto exponent is still to run an OLS regression: log(Rank)=a-b log(Size), and take b as an estimate of the Pareto exponent. The reason for this popularity is arguably the simplicity and robustness of this method. Unfortunately, this procedure is strongly biased in small samples. We provide a simple practical remedy for this bias, and propose that, if one wants to use an OLS regression, one should use the Rank-1/2, and run log(Rank-1/2)=a-b log(Size). The shift of 1/2 is optimal, and reduces the bias to a leading order. The standard error on the Pareto exponent zeta is not the OLS standard error, but is asymptotically (2/n)^(1/2) zeta. Numerical results demonstrate the advantage of the proposed approach over the standard OLS estimation procedures and indicate that it performs well under dependent heavy-tailed processes exhibiting deviations from power laws. The estimation procedures considered are illustrated using an empirical application to Zipf's law for the U.S. city size distribution.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130182419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 105
Duality Approaches to Economic Lot-Sizing Games 经济批量游戏的对偶方法
New York University Stern School of Business Research Paper Series Pub Date : 2007-05-01 DOI: 10.1111/POMS.12542
Xin Chen, Jiawei Zhang
{"title":"Duality Approaches to Economic Lot-Sizing Games","authors":"Xin Chen, Jiawei Zhang","doi":"10.1111/POMS.12542","DOIUrl":"https://doi.org/10.1111/POMS.12542","url":null,"abstract":"A removable, polymeric conveyor link and conveyor utilizing such a link are disclosed. The link is essentially an elongated body of tough, hard slightly flexible elastomer with at least a pair of spaced, parallel, cylindrical cavities in which are disposed rod locking devices. The conveyor is constructed of metal rods, generally round in cross-section, wherein at least a pair of spaced metal rods are held in position by flexible elastomer spacers (fixed links) near each end whereby the end rods protrude through such spacers and then are joined by the removable elastomer links having rod locking sleeves.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131792388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 65
Asset Pricing in a General Equilibrium Production Economy With Chew-Dekel Risk Preferences 具有Chew-Dekel风险偏好的一般均衡生产经济中的资产定价
New York University Stern School of Business Research Paper Series Pub Date : 2007-03-02 DOI: 10.2139/ssrn.967789
Claudio Campanale, R. Castro, Gian Luca Clementi
{"title":"Asset Pricing in a General Equilibrium Production Economy With Chew-Dekel Risk Preferences","authors":"Claudio Campanale, R. Castro, Gian Luca Clementi","doi":"10.2139/ssrn.967789","DOIUrl":"https://doi.org/10.2139/ssrn.967789","url":null,"abstract":"In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with convex investment adjustment costs. When households have Epstein-Zin preferences, there exist plausible parametervalues such that the model generates unconditional mean risk--free rate and equity return, and volatility of consumption growth, which are in line with historical averages for the US economy. Consistently with the data, the model's implied price--dividendratio is pro-cyclical and stock returns are predictable (and increasingly so as the time horizon increases), while dividend growth is not. The model also implies realistic values for (i) the correlation of the risk--free rate with output growth and consumption growth and (ii) the correlation pattern between risk--free rate, equity return, and equity premium. The risk implied by the model is rather low. At the modal state of nature, an individual that expects to consume for 100,000 dollars a year faces a lottery over future consumption with a standard deviation of 55 dollars (per quarter). Her risk aversion is such that she's willing to pay 1 dollar (per quarter) in order to avoid that lottery. Very similar results can be obtained assuming that agents are disappointment averse in the sense of Gul (1991). With such risk preferences, the universality requirement is not a problem to the extent that it is in the case of expected utility. In fact, faced with a lottery that has a coefficient of variation 100 times as large as that implied by our model, a disappointment averse agent displays the same relative risk aversion as an expected utility agent with logarithmic utility!","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131016924","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
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