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Derivative Pricing with Two Collateral Rates 两种担保利率下的衍生品定价
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-02-14 DOI: 10.2139/ssrn.3785526
Marc Henrard
{"title":"Derivative Pricing with Two Collateral Rates","authors":"Marc Henrard","doi":"10.2139/ssrn.3785526","DOIUrl":"https://doi.org/10.2139/ssrn.3785526","url":null,"abstract":"This note analyses derivative pricing in the context of a collateral rate switch during the life of a financial product or the existence of two overnight rates. In particular we analyse the impact of forward change of collateral, the impact on OISs when the collateral rate is different from the OIS underlying, and the impact of bilateral swaptions collateral rate different from the one implied by the cleared market. In each case, we evidence new convexity adjustment impacts previously not accounted for. The order of magnitude of those impacts is also proposed for realistic values of model parameters; the individual relative impacts are not huge, but when applied on trillions of notional, as it is the case, the monetary impacts can be substantial.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130208869","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
A critique of the agency theory viewpoint of stock price crash risk 股票价格崩盘风险的代理理论观点批判
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2021-01-27 DOI: 10.2139/ssrn.3774424
P. Andreou, N. Lambertides, Marina Magidou
{"title":"A critique of the agency theory viewpoint of stock price crash risk","authors":"P. Andreou, N. Lambertides, Marina Magidou","doi":"10.2139/ssrn.3774424","DOIUrl":"https://doi.org/10.2139/ssrn.3774424","url":null,"abstract":"This study documents a puzzling historical trend in crash risk for US-listed firms: Between 1950 and 2018, firm-specific stock price crashes rose from 5.5% to an astonishing 27%. The vastness of the existing literature notoriously attributes such crashes to agency reasons fueled by managerial opportunism, i.e., self-interested executives who strategically camouflaging bad news via financial reporting opacity and overinvestment. Our findings provide empirical support that these two agency channels cannot effectively explain the increasing frequency of stock price crashes, especially in the period following the enforcement of the Sarbanes–Oxley Act. Overall, this study criticizes the efficacy of the agency paradigm and highlights the stock price crash risk puzzle, for which a plausible explanation remains elusive. Our conclusions offer avenues for future research to pursue in rationalizing this puzzle.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"172 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122058393","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
Volatility Derivatives for Children 儿童波动性衍生品
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-12-20 DOI: 10.2139/ssrn.3752265
Frido Rolloos
{"title":"Volatility Derivatives for Children","authors":"Frido Rolloos","doi":"10.2139/ssrn.3752265","DOIUrl":"https://doi.org/10.2139/ssrn.3752265","url":null,"abstract":"We describe the steps required to approximately price volatility derivatives by making use of only three near the money vanilla index options per maturity. When three near the money forward starting options per maturity are also available, a straightforward generalization enables the pricing of forward starting volatility derivatives such as volatility swaptions and so forth. The only assumption we make is that the index process is a diffusion with a volatility process that does not depend on the index level. No pretence of mathematical rigor or sophistication is made; this note should be seen as a playful and rudimentary attempt at pricing volatility derivatives with a minimum set of assumptions and market instruments.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117186031","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
Stock Return Asymmetry in China 中国股票收益不对称
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-12-20 DOI: 10.2139/ssrn.3724761
Ke Wu, Yifeng Zhu, Dongxu Chen
{"title":"Stock Return Asymmetry in China","authors":"Ke Wu, Yifeng Zhu, Dongxu Chen","doi":"10.2139/ssrn.3724761","DOIUrl":"https://doi.org/10.2139/ssrn.3724761","url":null,"abstract":"In this paper, we find that the upside asymmetry calculated based on a new distribution-based asymmetry measure proposed by Jiang, Wu, Zhou, and Zhu (2020) is negatively related to average future returns in the crosssection of Chinese stock returns. By contrast, when using a conventional skewness measure, the relationship between asymmetry and average returns is unclear. Furthermore, the asymmetry factor constructed from the new asymmetry measure cannot be explained by the three-factor (CH-3) and four-factor (CH-4) models proposed by Liu, Stambaugh, and Yuan (2019). When augmenting the CH-3 model with our asymmetry factor, the new four-factor \u0000model is able to explain 33 anomalies out of a universe of 37 significant anomalies in the Chinese stock market.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115202282","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: 6
Key Talent Outflow and Stock Price Crash Risk: Evidence from the Rejection of the Inevitable Disclosure Doctrine 关键人才外流与股价崩盘风险:来自对必然披露原则的否定的证据
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-12-05 DOI: 10.2139/ssrn.3492463
Xin Liu, Xiaoran Ni
{"title":"Key Talent Outflow and Stock Price Crash Risk: Evidence from the Rejection of the Inevitable Disclosure Doctrine","authors":"Xin Liu, Xiaoran Ni","doi":"10.2139/ssrn.3492463","DOIUrl":"https://doi.org/10.2139/ssrn.3492463","url":null,"abstract":"We document that an increase in the likelihood of key talent outflow leads to a higher stock price crash risk. Our test exploits U.S. state courts’ staggered rejections of the inevitable disclosure doctrine (IDD), which improves the ability of key talent to switch jobs. Relative to unaffected firms, we find that firms experience a significantly increased stock price crash risk after the states where they are headquartered reject the IDD. This effect is stronger for firms that face more industry competition and rely more heavily on key talent. Additional evidence shows that rejection of the IDD dampens firms’ fundamentals and increases their distress risk. Overall, consistent with the view that a loss of key personnel can be an additional risk factor, our results suggest that an increased likelihood of key talent outflow can lead to performance deterioration and hence bad news formation, which in turn results in stock price crashes.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121334857","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
On Multi-Dimensional Time-Varying Price Staleness 多维时变价格过期问题研究
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-11-25 DOI: 10.2139/ssrn.3737180
Haibin Zhu, Zhi Liu
{"title":"On Multi-Dimensional Time-Varying Price Staleness","authors":"Haibin Zhu, Zhi Liu","doi":"10.2139/ssrn.3737180","DOIUrl":"https://doi.org/10.2139/ssrn.3737180","url":null,"abstract":"The price staleness is referred to as the extent of the presence of the zero returns in the price dynamics. The proportion of the zero returns could be high in the high-frequency data sets, as pointed by Bandi et al. (2020a). Considering the price staleness as a dynamic system too, in this paper, we extend the framework of Bandi et al. (2020b) and study the statistical inference of the idiosyncratic price staleness and systematic price staleness between assets, where the systematic price staleness characterizes the probability of the presence of com- mon zero returns. We propose consistent estimators for both the idiosyncratic and systematic price stalenesses under the new framework, and their distributional theory are established. Moreover, we develop a feasible nonparametric test for the constancy of the systematic price staleness. All of the methodologies are based on the high-frequency observations, namely, we require the observing intervals shrink to zero. Finally, we conduct simulation studies under various scenarios to assess the finite sample performance of the proposed approaches, and provide an empirical illustration for the proposed theory.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"3 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133948557","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
Market Liquidity and Price Disparity: Evidence from Chinese Cross-Listed Firms 市场流动性与价格差异:来自中国交叉上市公司的证据
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-11-15 DOI: 10.2139/ssrn.3731149
Jun Liu, Kai Wu, Fuwei Jiang, Botao Fan
{"title":"Market Liquidity and Price Disparity: Evidence from Chinese Cross-Listed Firms","authors":"Jun Liu, Kai Wu, Fuwei Jiang, Botao Fan","doi":"10.2139/ssrn.3731149","DOIUrl":"https://doi.org/10.2139/ssrn.3731149","url":null,"abstract":"In this study, we investigate the association between stock liquidity and the H-share discount using a sample of Chinese cross-listed stocks in A- and H-shares markets. We examine the liquidity hypothesis by utilizing depth and trading activity and our results suggest that stocks with higher level in depth (active trading) of A-shares relative to H-shares are associated with less (more) H-share discount. Such effect is more pronounced in stocks that are non-state-owned and with low product market competition and ownership concentration. Moreover, we provide supportive evidence that the Stock Connect Program introduced in 2015 significantly dampens the association between stock liquidity and H-share discount. Overall, our findings highlight that the liquidity differences of cross-listed stocks explain large proportion of variation in price disparity.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132648386","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
Hedge Fund Redemption Restrictions and Stock Price Fragility 对冲基金赎回限制与股价脆弱性
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-10-15 DOI: 10.2139/ssrn.3681388
J. Reynolds
{"title":"Hedge Fund Redemption Restrictions and Stock Price Fragility","authors":"J. Reynolds","doi":"10.2139/ssrn.3681388","DOIUrl":"https://doi.org/10.2139/ssrn.3681388","url":null,"abstract":"This paper explores the idea that the increasing concentration of institutional ownership in equity markets makes stock prices more \"fragile,\" i.e., more exposed to liquidity shocks to institutional investors. I argue that institutional stockholders with stricter redemption policies, who are less likely to experience redemption-generated liquidity shocks, should expose stocks to lower levels of price fragility. An analysis of hedge fund characteristics confirms that hedge funds with strict redemption policies exhibit less portfolio turnover, and stocks held by high-restriction funds are less exposed to flow-induced liquidity trading. A hand-collected dataset of institutional block acquisitions reveals comparatively higher cumulative abnormal returns following block acquisitions by hedge funds with tighter redemption restrictions, confirming that the market places a value on strict redemption policies. Finally, a difference-in-differences regression reveals that stocks purchased by institutional blockholders with stricter redemption policies experience a significant decrease in volatility.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131089869","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 Behavior and Timing of Corporate Buybacks: New Evidence From Repurchase Series 公司回购行为与时机:来自回购系列的新证据
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3537842
Nicholas Clarke
{"title":"The Behavior and Timing of Corporate Buybacks: New Evidence From Repurchase Series","authors":"Nicholas Clarke","doi":"10.2139/ssrn.3537842","DOIUrl":"https://doi.org/10.2139/ssrn.3537842","url":null,"abstract":"This study provides important new insights into the behavior and timing of actual corporate share repurchases. The key distinction from prior research is that I account for the continuance of share repurchases: almost 95% of firm-months with a repurchase are not individual repurchase events but rather occur as part of a series of repurchase events in close proximity. Abnormal returns are two to three times as large surrounding repurchase series versus individual repurchases, and negative (positive) abnormal returns are concentrated before (after) repurchase series begin (end). These findings have important implications for future research on actual share repurchases.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123810073","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 Causal Impact of Macroeconomic Uncertainty on Expected Returns 宏观经济不确定性对预期收益的因果影响
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-08-27 DOI: 10.2139/ssrn.3711584
{"title":"The Causal Impact of Macroeconomic Uncertainty on Expected Returns","authors":"","doi":"10.2139/ssrn.3711584","DOIUrl":"https://doi.org/10.2139/ssrn.3711584","url":null,"abstract":"I quantify the causal effect of macroeconomic uncertainty on time-varying expected returns. Due to the comovement of many countercyclical variables at monthly and quarterly frequencies, isolating exogenous changes in uncertainty proves difficult. Thus, previous approaches have imposed strong structural assumptions to disentangle the effect of uncertainty. Here I achieve clean identification with fewer structural assumptions by moving to a higher frequency. Using daily measures of macroeconomic uncertainty and expected equity market returns, I exploit the exogenous timing of macroeconomic announcements as an instrument for uncertainty. I find that macroeconomic uncertainty falls significantly on announcements. This announcement resolution of uncertainty causes a significant decrease in expected returns. My results suggest that, under weak assumptions, macroeconomic uncertainty can account for at most 35% of the daily variation in expected returns. Moreover, I provide suggestive evidence that no expected return drivers other than macroeconomic uncertainty move on announcements. Under this stronger assumption, I conclude that macroeconomic uncertainty accounts for 12% of the variation in expected returns and that a one standard deviation increase in the level of macroeconomic uncertainty causes a 185 basis point increase in expected returns.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114616634","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
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