ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)最新文献

{"title":"Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns","authors":"G. Bakshi, Xiaohui Gao Bakshi, Alberto G. Rossi","doi":"10.2139/ssrn.2589057","DOIUrl":"https://doi.org/10.2139/ssrn.2589057","url":null,"abstract":"We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide an economic interpretation, we show that innovations in global equity volatility can price portfolios formed on carry, while innovations in a commodity-based measure of speculative activity can price portfolios formed on momentum. Finally, we characterize the relation between the factors and the investment opportunity set. Data and the Internet appendix are available at https://doi.org/10.1287/mnsc.2017.2840 This paper was accepted by Neng Wang, finance.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127859844","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}

{"title":"Bond Pricing and CVA","authors":"I. Gikhman","doi":"10.2139/ssrn.2593277","DOIUrl":"https://doi.org/10.2139/ssrn.2593277","url":null,"abstract":"Regulations of the market require disclosure of information about the nature and extent of risks arising from the trades of the market instruments. There are several significant drawbacks in fixed income pricing modeling. In this paper we interpret a corporate bond price as a random variable. In this case the spot price does not a complete characteristic of the price. The price should be specified by the spot price as well as its value of market risk. This interpretation is similar to a random variable in Probability Theory where an estimate of the random variable completely defined by its cumulative distribution function. The buyer market risk is the value of the chance that the spot price is higher than it is implied by the market scenarios. First we quantify credit risk of the corporate bonds and then consider marked-to-market pricing adjustment to bond price. In the case when issuer of the corporate bond is the counterparty of the bond buyer counterparty and credit risks are coincide.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114432825","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}

{"title":"An Explicitly Solvable Heston Model with Stochastic Interest Rate","authors":"M. C. Recchioni, Y. Sun","doi":"10.2139/ssrn.2591572","DOIUrl":"https://doi.org/10.2139/ssrn.2591572","url":null,"abstract":"This paper deals with a variation of the Heston hybrid model with stochastic interest rate illustrated in Grzelak and Oosterlee (2011). This variation leads to a multi-factor Heston model where one factor is the stochastic interest rate. Specifically, the dynamics of the asset price is described through two stochastic factors: one related to the stochastic volatility and the other to the stochastic interest rate. The proposed model has the advantage of being analytically tractable while preserving the good features of the Heston hybrid model in Grzelak and Oosterlee (2011) and of the multi-factor Heston model in Christoffersen et al. (2009). The analytical treatment is based on an appropriate parametrization of the probability density function which allows us to compute explicitly relevant integrals which define option pricing and moment formulas. The moments and mixed moments of the asset price and log-price variables are given by elementary formulas which do not involve integrals. A procedure to estimate the model parameters is proposed and validated using three different data-sets: the prices of call and put options on the U.S. S&P 500 index, the values of the Credit Agricole index linked policy, Azione Piu Capitale Garantito Em.64., and the U.S. three-month, two and ten year government bond yields. The empirical analysis shows that the stochastic interest rate plays a crucial role as a volatility factor and provides a multi-factor model that outperforms the Heston model in pricing options. This model can also provide insights into the relationship between short and long term bond yields.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124719474","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}

{"title":"The Gold and the Guns: Fire at Will!","authors":"Doc. Dr. Aleksandar Arsov","doi":"10.2139/ssrn.2590091","DOIUrl":"https://doi.org/10.2139/ssrn.2590091","url":null,"abstract":"Stock prices, which seemed in mid-October 2014 on the way in a crash, stormed with almost unstoppable upward again. When we received the results of the current ECB stress test for banks, a new stress test have now subjected. Here, the scenario would have sounded very threatening a year ago: what happens with North American mines at a gold price of $1,000 per ounce? Previous months clearly demonstrated the classic character of gold as a crisis protection. Thus, the price of gold keeps well above the $1200 mark. The global commodity-war enters the next phase. Right now with the currently extremely low prices for gold and silver, many countries stretch out their feelers to stock up with large inventories of gold and silver. How are the 2015 markets? This question is extremely exciting for the turbulent start in the first two weeks on the stock exchange. The broad financial markets are ripe for a correction. But what would happen if a country or a region would return to gold standard again? You can be almost certain that much capital would be transferred in this currency.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134333825","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}

{"title":"Smart Money, Dumb Money, and Capital Market Anomalies","authors":"Ferhat Akbas, W. Armstrong, Sorin M. Sorescu, A. Subrahmanyam","doi":"10.2139/ssrn.2409218","DOIUrl":"https://doi.org/10.2139/ssrn.2409218","url":null,"abstract":"We investigate the dual notions that “dumb money” exacerbates well-known stock return anomalies and “smart money” attenuates these anomalies. We find that aggregate flows to mutual funds (dumb money) appear to exacerbate cross-sectional mispricing, particularly for growth, accrual, and momentum anomalies. In contrast, hedge fund flows (smart money) appear to attenuate aggregate mispricing. Our results suggest that aggregate flows to mutual funds can have real adverse allocation effects in the stock market and that aggregate flows to hedge funds contribute to the correction of cross-sectional mispricing.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130467668","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}

{"title":"Stock-Market Law and the Accuracy of Public Companies' Stock Prices","authors":"Kevin S. Haeberle","doi":"10.2139/ssrn.2410422","DOIUrl":"https://doi.org/10.2139/ssrn.2410422","url":null,"abstract":"The social benefits of more accurate stock prices — that is, stock-market prices that more accurately reflect the future cash flows that companies are likely to produce — are well established. But it is also thought that market forces alone will lead to only a sub-optimal level of stock-price accuracy — a level that fails to obtain the maximum net social benefits, or wealth, that would result from a higher level. One of the principal aims of federal securities law has therefore been to increase the extent to which the stock prices of the most important companies in our economy (public companies) contain information about firms’ prospects so that society generates more wealth. Indeed, enhancing the accuracy of these prices in this way is perhaps the primary justification for the corporate disclosure, fraud, and insider-trading rules that make up the traditional core of federal securities law. Yet, important price-accuracy effects of a distinct area of the field (the law governing the market in which stocks are traded) have been overlooked.This Article theorizes that a set of central, yet little-noticed, stock-market rules is resulting in society producing a lower level of stock-price accuracy than it otherwise might. The Article therefore provides examples of ways in which the laws governing stock trading can be altered to increase stock-price accuracy. And it urges regulators to consider whether such alternations might be socially desirable in one of two ways: by enhancing the current level of stock-price accuracy in a manner that results in net social benefits, or by providing society with a lower-cost means than those associated with existing disclosure, fraud, and insider-trading laws for obtaining that current level. Accordingly, the Article theorizes that regulators have a fourth main securities-law tool (stock-market law) for increasing the accuracy of public companies’ stock prices, and sets forth a cost-benefit framework to help them determine whether it can be used to achieve one of the chief goals of securities law: obtaining a socially optimal level of stock-price accuracy.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132766689","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}

{"title":"An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor","authors":"Kuntara Pukthuanthong, Richard Roll, Junbo Wang","doi":"10.2139/ssrn.3503974","DOIUrl":"https://doi.org/10.2139/ssrn.3503974","url":null,"abstract":"We propose an estimator for the stochastic discount factor (SDF) which is agnostic because it does not require macroeconomic proxies or preference assumptions. It depends only on observed asset returns. Nonetheless, it is immune to the form of the multivariate return distribution, including the distribution’s factor structure. Putting our estimator to work, we find that a unique positive SDF prices all U.S. asset classes and satisfies the Hansen/Jagannathan variance bound. In contrast, the Chinese and Indian equity markets do not share the same SDF and hence do not seem to be integrated.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122081341","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}

{"title":"Alternative Option Pricing and CVA","authors":"I. Gikhman","doi":"10.2139/ssrn.2571990","DOIUrl":"https://doi.org/10.2139/ssrn.2571990","url":null,"abstract":"The document IFRS 7 requires disclosure of information about the nature and extent of risks arising from trading those instruments. There are several significant drawbacks in derivative price modeling which relate to global regulations of the derivatives market. Here we present a unified approach which in stochastic market interprets option price as a random variable. Therefore spot price does not complete characteristic of the price in stochastic environment. Complete derivatives price includes the spot price as well as the value of market risk implied by the use of the spot price. This interpretation is similar to the notion of the random variable in Probability Theory in which an estimate of the random variable completely defined by its cumulative distribution function. If random variable is assigned to price and observations are interpreted as spot prices then correspondent cumulative distribution function is associated with buyer market risk. Therefore buyer market risk is the value of the chance that the spot price is higher than it is implied by market scenarios.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131072474","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}

{"title":"Do Foreign Firm Betas Change During Cross-Listing?","authors":"K. Lewis","doi":"10.3386/w21054","DOIUrl":"https://doi.org/10.3386/w21054","url":null,"abstract":"The reaction of foreign stocks to cross-listing events has been documented in an extensive literature, finding that the betas of these stocks change over time. In this paper, I use stock return data for foreign companies listed on U.S. exchanges to ask whether the betas changed at all and, if so, on what date. While betas for most of these companies indeed change over their sample, the evidence shows that these changes arise from greater integration between their home markets and the U.S. Moreover, of the remaining companies, the betas change significantly after, not during, the cross-listing event.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128499417","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}

{"title":"An Empirical Analysis of the Ross Recovery Theorem","authors":"F. Audrino, Robert Huitema, Markus Ludwig","doi":"10.2139/ssrn.2433170","DOIUrl":"https://doi.org/10.2139/ssrn.2433170","url":null,"abstract":"Building on the results of Ludwig (2012), we propose a method to construct robust time-homogeneous Markov chains that capture the risk-neutral transition of state prices from current snapshots of option prices on the S&P 500 index. Using the recovery theorem of Ross (2013), we then derive the market’s forecast of the real-world return density and investigate the predictive information content of its moments. We find that changes in the recovered moments can be used to time the index, yielding strategies that not only outperform the market, but are also significantly less volatile.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"160 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130091904","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}