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A Robust Approach to Optimal Portfolio Choice with Parameter Uncertainty 具有参数不确定性的最优投资组合鲁棒方法
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-10-15 DOI: 10.2139/ssrn.3855546
Nathan Lassance, Alberto Mart́ın-Utrera, Majeed Simaan
{"title":"A Robust Approach to Optimal Portfolio Choice with Parameter Uncertainty","authors":"Nathan Lassance, Alberto Mart́ın-Utrera, Majeed Simaan","doi":"10.2139/ssrn.3855546","DOIUrl":"https://doi.org/10.2139/ssrn.3855546","url":null,"abstract":"It is well known that estimated mean-variance portfolios deliver, on average, poor out-of-sample performance. A lesser-known fact that we characterize in this paper is that their out-of-sample performance is also very volatile. Using our analytical characterization of out-of-sample performance volatility, we propose a measure of portfolio robustness defined as the difference between out-of-sample utility mean and a multiple of out-of-sample utility risk. We exploit our measure of portfolio robustness to calibrate shrinkage portfolios and show that they tend to outperform those portfolios that ignore parameter uncertainty or only optimize out-of-sample utility mean.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123930860","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: 1
The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics 杠杆etf和期权市场失衡在日末价格动态中的作用
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-09-17 DOI: 10.2139/ssrn.3925725
A. Barbon, H. Beckmeyer, Andrea Buraschi, Mathis Moerke
{"title":"The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics","authors":"A. Barbon, H. Beckmeyer, Andrea Buraschi, Mathis Moerke","doi":"10.2139/ssrn.3925725","DOIUrl":"https://doi.org/10.2139/ssrn.3925725","url":null,"abstract":"Leveraged ETFs and market makers who are active in option markets must adjust imbalances arising from market movements. Establishing delta-neutrality may cause either return momentum or reversal depending on the sign and size of the imbalance vis-a-vis market prevailing liquidity. We find that a large and negative (positive) aggregated gamma imbalance, relative to the average dollar volume, gives rise to an economically and statistically significant end-of-day momentum (reversal). We compare this channel to the rebalancing of leveraged ETFs and find that the effect generated by leveraged ETFs is economically larger. Consistent with the notion of temporary price pressure, the documented effects quickly revert at the next day’s open. Information-based explanations are unlikely to cause the results, suggesting a non-informational channel through which leveraged ETFs and option markets affect underlying stocks towards the market close.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122012901","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: 0
The Anna Karenina Principle and Stock Prices 安娜·卡列尼娜原则与股票价格
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-08-27 DOI: 10.2139/ssrn.3912558
D. Baur
{"title":"The Anna Karenina Principle and Stock Prices","authors":"D. Baur","doi":"10.2139/ssrn.3912558","DOIUrl":"https://doi.org/10.2139/ssrn.3912558","url":null,"abstract":"The Anna Karenina principle (AKP) based on the opening line of Leo Tolstoy’s Anna Karenina, “All happy families are all alike; each unhappy family is unhappy in its own way” is applied to financial markets. We test the AKP by defining happy firms as positive return firms and unhappy firms as negative return firms and analyze whether happy firms are more “alike” than unhappy firms. We use return correlations, cross-sectional return and cross-sectional volatility dispersion as measures and find for different stock index constituent samples totalling more than 8,000 stocks that the AKP does not hold in general. In contrast, all samples exhibit cross-sectional volatility asymmetry where the average return volatility of unhappy firms is larger than that of happy firms.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132840387","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: 0
Realised Volatility Forecasting: Machine Learning via Financial Word Embedding 实现波动率预测:通过金融词嵌入的机器学习
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-07-28 DOI: 10.2139/ssrn.3895272
Eghbal Rahimikia, S. Zohren, S. Poon
{"title":"Realised Volatility Forecasting: Machine Learning via Financial Word Embedding","authors":"Eghbal Rahimikia, S. Zohren, S. Poon","doi":"10.2139/ssrn.3895272","DOIUrl":"https://doi.org/10.2139/ssrn.3895272","url":null,"abstract":"We develop FinText, a novel, state-of-the-art, financial word embedding from Dow Jones Newswires Text News Feed Database. Incorporating this word embedding in a machine learning model produces a substantial increase in volatility forecasting performance on days with volatility jumps for 23 NASDAQ stocks from 27 July 2007 to 18 November 2016. A simple ensemble model, combining our word embedding and another machine learning model that uses limit order book data, provides the best forecasting performance for both normal and jump volatility days. Finally, we use Integrated Gradients and SHAP (SHapley Additive exPlanations) to make the results more 'explainable' and the model comparisons more transparent.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124345537","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: 5
Factor Model Comparisons with Conditioning Information 因子模型与条件反射信息的比较
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-07-08 DOI: 10.2139/ssrn.3927297
Junbo Wang, W. Ferson, A. Siegel
{"title":"Factor Model Comparisons with Conditioning Information","authors":"Junbo Wang, W. Ferson, A. Siegel","doi":"10.2139/ssrn.3927297","DOIUrl":"https://doi.org/10.2139/ssrn.3927297","url":null,"abstract":"We provide novel asymptotic tools for tests of asset pricing models and factor model comparisons when portfolios trade dynamically using lagged information. An Asymptotic Variance Lemma covers most of the tests in the literature that compare maximum squared Sharpe ratios. We develop finite-sample bias adjustments for Sharpe ratios of dynamic portfolios, include models with non-traded factors and validate the asymptotic results with simulations. We provide an estimator for the zero beta rate in the tests, and find values larger than the historical average risk-free rate when we use standard test portfolios. Factor models’ Sharpe ratios are improved with conditioning information, some more than others, but dynamic trading in the test asset portfolios is the larger effect.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131775969","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: 1
GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices 基于变换矩的衍生品价格随机波动模型的GMM估计
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-05-20 DOI: 10.2139/ssrn.3730044
Yannick Dillschneider, R. Maurer
{"title":"GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices","authors":"Yannick Dillschneider, R. Maurer","doi":"10.2139/ssrn.3730044","DOIUrl":"https://doi.org/10.2139/ssrn.3730044","url":null,"abstract":"Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the state vector prevents or at least severely impedes their inclusion into standard estimation approaches. This paper develops a novel and unified methodology to incorporate moments involving derivatives prices into a GMM estimation procedure. Invoking new results from generalized transform analysis, we derive analytically tractable expressions for exact moments and devise a computationally attractive approximation procedure. We exemplify our methodology with an estimation problem that jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results that support the effectiveness of our methodology.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116227603","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: 1
What Do We Know About the Second Moment of Financial Markets? 我们对金融市场的第二时刻了解多少?
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-05-06 DOI: 10.2139/ssrn.3856863
Klaus Grobys
{"title":"What Do We Know About the Second Moment of Financial Markets?","authors":"Klaus Grobys","doi":"10.2139/ssrn.3856863","DOIUrl":"https://doi.org/10.2139/ssrn.3856863","url":null,"abstract":"Recent research shows that the vast majority of scientific studies published in leading finance journals fails scientific replication (Hou, Xue, and Zhang, 2020; Harvey, Liu, and Zhu; 2016). This study argues that p-hacking, publication pressure and the selection bias from leading finance journals are perhaps not the underlying root cause for this issue. We show that standard methodologies often used in finance research are inevitably sample-specific due to the very nature of financial markets. While the consensus of earlier research postulates a rejection of the time-honored Levy hypothesis, our results strongly indicate that the variance of variance does not exist in any of the financial key markets we consider. An unexpected finding of this study is that the variance process governing the U.S. dollar foreign exchange rate market is generating more extreme events than the Bitcoin market. Our results cast doubts on the validity of methodologies currently used in finance research.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126286205","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: 9
Beyond the Yield Curve: Understanding the Effect of FOMC Announcements on the Stock Market 超越收益率曲线:理解联邦公开市场委员会公告对股市的影响
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-03-25 DOI: 10.2139/ssrn.3812524
Christoph E. Boehm, Niklas Kroner
{"title":"Beyond the Yield Curve: Understanding the Effect of FOMC Announcements on the Stock Market","authors":"Christoph E. Boehm, Niklas Kroner","doi":"10.2139/ssrn.3812524","DOIUrl":"https://doi.org/10.2139/ssrn.3812524","url":null,"abstract":"A large literature uses high-frequency changes in interest rates around FOMC announcements to study monetary policy. These yield changes have puzzlingly low explanatory power for the stock market - even in a narrow 30-minute window. We propose a new approach to test whether the unexplained variation represents monetary policy news or just noise. In particular, we allow for a latent \"Fed non-yield curve shock'', which we estimate via a heteroskedasticity-based procedure. Using a test for weak identification, we show that our shock is well identified, that is, the unexplained variation is not just noise. We then go on to show that the shock, signed to increase stock prices, leads to sizable declines in the equity and variance premium, an increase in the 10-year term premium, an increase in short-run inflation expectations, as well as a dollar depreciation against multiple non-safe-haven currencies. Hence, the evidence supports the interpretation that the shock affects risk-appetite and leads to a reverse \"flight-to-safety'' effect. Lastly, using a method from the computational linguistics literature, we show that our shock can be linked to specific topics discussed in FOMC statements, suggesting that it reflects written communication by the Federal Reserve.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114907713","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: 0
Tail Risk in Credit Markets: A Dynamic Power-Law Model 信贷市场尾部风险:一个动态幂律模型
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-02-22 DOI: 10.2139/ssrn.3793108
Reinhard Fellmann
{"title":"Tail Risk in Credit Markets: A Dynamic Power-Law Model","authors":"Reinhard Fellmann","doi":"10.2139/ssrn.3793108","DOIUrl":"https://doi.org/10.2139/ssrn.3793108","url":null,"abstract":"I provide a measure of time-varying tail risk in credit markets based on a dynamic power-law model. Credit tail risk is estimated from extreme price fluctuations of credit default swaps (CDS) on government debt. Tail returns are described by a power-law for core and peripheral countries within the Economic and Monetary Union. I find that the tail distributions of returns for short- and long-term debt insurances exhibit the cubic law of returns on different time-scales, which implies the existence of a finite second moment. Sellers of short-term CDS protection bear a higher tail risk of more extreme returns than long-term CDS, especially on shorter time scales. Cross-sectionally, countries in the core region that have a lower probability of credit default imply a greater tail risk than in the peripheral region. This phenomenon can be explained by the significant impact of volatility on the tail distribution. My evidence suggests that credit default swaps of core countries with cheap insurance prices pay off in high-risk states and thus are valuable hedges against extreme events. I show that these findings have important implications for risk management, portfolio allocation, and asset pricing.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123239915","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: 0
The Impact of Underpricing of the Default Risk on Investment: Evidence from Real Estate Investment Trusts (REITs) 违约风险低估对投资的影响:来自房地产投资信托基金(REITs)的证据
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-02-21 DOI: 10.2139/ssrn.3473693
L. Nguyen, Bertram I. Steininger
{"title":"The Impact of Underpricing of the Default Risk on Investment: Evidence from Real Estate Investment Trusts (REITs)","authors":"L. Nguyen, Bertram I. Steininger","doi":"10.2139/ssrn.3473693","DOIUrl":"https://doi.org/10.2139/ssrn.3473693","url":null,"abstract":"This study examines the impact of underpriced default risk on investment in the real estate investment trust (REIT) sector, where firms’ investment is highly sensitive to changes in credit market c ...","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133226241","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: 0
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