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The Valuation of Corporate Coupon Bonds 公司息票债券的估值
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-07-10 DOI: 10.2139/ssrn.3277092
Jens Hilscher, R. Jarrow, Donald R. van Deventer
{"title":"The Valuation of Corporate Coupon Bonds","authors":"Jens Hilscher, R. Jarrow, Donald R. van Deventer","doi":"10.2139/ssrn.3277092","DOIUrl":"https://doi.org/10.2139/ssrn.3277092","url":null,"abstract":"This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes a more realistic recovery rate process. The existing empirical literature uses a recovery rate process that is misspecified because it includes recovery rates for coupons due after default. Misspecification errors resulting from assuming recovery on all coupons can be substantial in size. They are larger if recovery rates, coupons, maturity and default probabilities are larger. We present evidence that coupon bond market transaction prices reflect the different recovery rates that our model predicts and that our model provides a good fit to market prices.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133300025","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: 3
Deep Learning for Real Estate Price Prediction 房地产价格预测的深度学习
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-05-24 DOI: 10.2139/ssrn.3393434
L. Walthert, Fabio Sigrist
{"title":"Deep Learning for Real Estate Price Prediction","authors":"L. Walthert, Fabio Sigrist","doi":"10.2139/ssrn.3393434","DOIUrl":"https://doi.org/10.2139/ssrn.3393434","url":null,"abstract":"In this article, deep learning is applied to the task of real estate mass appraisal. To the best of our knowledge, we are the first to systematically evaluate a large collection of neural network architectures and tuning parameters for real estate price data. We compare the deep learning based approach to a classical linear regression model with manual feature engineering, gradient boosted trees, as well as a meta model which combines the prediction of the other models. Using transaction data for residential apartments in Switzerland, we find that a deep learning model results in significantly better predictive accuracy for real estate prices compared to a linear model. However, the difference is of a relatively small magnitude from an economic point of view. Further, the combined meta model results in substantially and significantly better predictions than each of the individual models.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128463394","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
Simplified Mathematical Model of Long-Term Investment Values 长期投资价值的简化数学模型
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-05-22 DOI: 10.2139/ssrn.3392528
A. Krouglov
{"title":"Simplified Mathematical Model of Long-Term Investment Values","authors":"A. Krouglov","doi":"10.2139/ssrn.3392528","DOIUrl":"https://doi.org/10.2139/ssrn.3392528","url":null,"abstract":"Presented here are simplified mathematical models to evaluate the long-term investment values. A framework of the single product economy is used, which clarifies conceptual explanation. The short-term effects are mostly discarded and focus is done on the long-term economic trends. Two models are examined. The first model estimates an equity value for the stable earnings. The second model assesses an equity value for the unstable earnings with instability caused by the capital investments.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"116 40","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120827718","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
A Theoretical Analysis Connecting Conservative Accounting to the Cost of Capital 保守会计与资本成本的理论分析
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-05-01 DOI: 10.2139/ssrn.2874641
S. Penman, Xiao-Jun Zhang
{"title":"A Theoretical Analysis Connecting Conservative Accounting to the Cost of Capital","authors":"S. Penman, Xiao-Jun Zhang","doi":"10.2139/ssrn.2874641","DOIUrl":"https://doi.org/10.2139/ssrn.2874641","url":null,"abstract":"We connect conservative accounting to the cost of capital by developing an accounting model within an asset pricing framework. The model has three distinctive features: (1) transaction-cycle-conformity, where the book value equals the value of cash at the beginning and the end of a cash-to-cash transaction cycle; (2) a revenue recognition principle, where uncertainty affects the amount of revenues recognized; (3) a matching principle, where expenses are matched with revenue with a conservative bias due to uncertainty. We demonstrate how the growth rate of expected earnings, the accruals-to-cash ratio, and the expected earnings yield relate to the expected stock return.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123566121","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: 35
Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks? 或有可转换债券能否帮助私人资产管理公司为收购葡萄牙银行不良贷款提供资金?
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-05-01 DOI: 10.5089/9781498312080.001
A. Santos
{"title":"Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?","authors":"A. Santos","doi":"10.5089/9781498312080.001","DOIUrl":"https://doi.org/10.5089/9781498312080.001","url":null,"abstract":"This paper analyzes the capital structure of private asset managers in which the acquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles (CoCos) placed with investors. The paper develops a model based on NPL transfer prices and residual recovery rates to assess capital structures consisting of CoCos and equity. The CoCos would contain put and call options to write down losses and write up profits, respectively, arising from liquidation and restructuring procedures. The paper concludes that the protection mechanism provided by debt write-downs embedded in CoCos and the incentives to investors provided by debt write-ups could help bridge the gap between Portuguese banks’ NPL bid prices and private equity firms’ ask prices.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123188227","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
Stock-Bond Return Correlations: Moving Away from ‘One-Frequency-Fits-All’ by Extending the DCC-MIDAS Approach 股票-债券收益相关性:通过扩展DCC-MIDAS方法摆脱“单一频率适合所有人”
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3190071
Anne-Florence Allard, Leonardo Iania, Kristien Smedts
{"title":"Stock-Bond Return Correlations: Moving Away from ‘One-Frequency-Fits-All’ by Extending the DCC-MIDAS Approach","authors":"Anne-Florence Allard, Leonardo Iania, Kristien Smedts","doi":"10.2139/ssrn.3190071","DOIUrl":"https://doi.org/10.2139/ssrn.3190071","url":null,"abstract":"This paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants of each component. We show that the daily correlation component is driven by financial market factors, while the monthly component is more influenced by macroeconomic factors. Finally, the yearly component is determined by funding opportunities in the economy. These results are important as they show that different correlation components and determinants should be considered for different investment horizons.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123828596","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
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds 无事生非:短期和长期债券的差异定价和流动性研究
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2018-12-01 DOI: 10.2139/ssrn.3296959
Joost Driessen, Theo Nijman, Zorka Simon
{"title":"Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds","authors":"Joost Driessen, Theo Nijman, Zorka Simon","doi":"10.2139/ssrn.3296959","DOIUrl":"https://doi.org/10.2139/ssrn.3296959","url":null,"abstract":"Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important policy implications for the €17.5 trillion European pension and insurance industries: long maturity bond yields seem appropriate for the valuation of long-term liabilities.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131813952","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: 7
Bid and Ask Prices of Index Put Options: Which Predicts the Underlying Stock Returns? 指数看跌期权的买入价和卖出价:预测标的股票收益?
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2018-11-16 DOI: 10.2139/ssrn.3285854
Jian Chen, Yangshu Liu
{"title":"Bid and Ask Prices of Index Put Options: Which Predicts the Underlying Stock Returns?","authors":"Jian Chen, Yangshu Liu","doi":"10.2139/ssrn.3285854","DOIUrl":"https://doi.org/10.2139/ssrn.3285854","url":null,"abstract":"In this study, we separately estimate the implied volatility from bid prices and ask prices of<br>deep out-of-the-money (OTM) put options on the S&amp;P500 index. We find that the implied<br>volatility of ask prices has stronger stock return predictability than that of bid prices. Our finding is robust to the out-of-sample setting and this superior predictive power leads to great economic values in the asset allocation. The better performance of the ask price implied volatility relative to that of the bid price is largely due to its stronger power for predicting stock returns during the state of economic recession and the state of increasing intermediary capital risk. In particular, in the presence of intermediary shock, the ask price implied volatility contains richer information related to the market variance risk premium than does the bid price implied volatility.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121467857","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: 2
Pricing American Options With Jumps in Asset and Volatility 以资产和波动性的跳跃为美国期权定价
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2018-10-24 DOI: 10.2139/ssrn.3272506
Blessing Taruvinga, Boda Kang, Christina Sklibosios Nikitopoulos
{"title":"Pricing American Options With Jumps in Asset and Volatility","authors":"Blessing Taruvinga, Boda Kang, Christina Sklibosios Nikitopoulos","doi":"10.2139/ssrn.3272506","DOIUrl":"https://doi.org/10.2139/ssrn.3272506","url":null,"abstract":"Jump risk plays an important role in current financial markets, yet it is a risk that cannot be easily measured and hedged. We numerically evaluate American call options under stochastic volatility, stochastic interest rates and jumps in both the asset price and volatility. By employing the Method of Lines (Meyer (2015)), the option price, the early exercise boundary and the Greeks are computed as part of the solution, which makes the numerical implementation time efficient. We conduct a numerical study to gauge the impact of jumps and stochastic interest rates on American call option prices and on their free boundaries. Jumps tend to increase the values of OTM and ATM options while decreasing the value of ITM options. The option delta is affected in a similar way. The impact of jumps on the free boundary is substantial and depends on the time to maturity. Near expiry, including asset jumps lowers the free boundary and the option holder is more likely to exercise the option, whilst including asset-volatility jumps elevates the free boundary and the option holder is less likely to exercise the option. This relation reverses at the beginning of the options life. The volatility, interest rates and their volatilities have a positive impact on the free boundaries and the option holder is less likely to exercise as these parameters increase.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127584628","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: 2
The Coins’ Other Side – Dynamic Relationships Between Pre-Crash Cryptocurrency Prices and Their Determinants 硬币的另一面——崩溃前加密货币价格与其决定因素之间的动态关系
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2018-08-31 DOI: 10.2139/ssrn.3252978
Jan Swiatkowski, Lukas Koenig, Hans-Peter Burghof
{"title":"The Coins’ Other Side – Dynamic Relationships Between Pre-Crash Cryptocurrency Prices and Their Determinants","authors":"Jan Swiatkowski, Lukas Koenig, Hans-Peter Burghof","doi":"10.2139/ssrn.3252978","DOIUrl":"https://doi.org/10.2139/ssrn.3252978","url":null,"abstract":"Cryptocurrencies have become one of the most important and most disputed aspects in financial markets. However, the understanding of the price formation process for blockchain-based cryptocurrencies is still limited. This paper analyzes factors influencing the price of the five cryptocurrencies Bitcoin, Ethereum, Dash, Litecoin, and Monero in the time between January 2014 and July 2017. We conduct a Granger Causality study by estimating vector autoregressive models, vector error correction models, and autoregressive distributed lag models in order to test previously developed hypotheses on price determinants. The results suggest that the proportion of value of the global cryptocurrency portfolio as well as public attention are the two key factors that drive prices. The findings indicate that cryptocurrencies are subject to the formation of price bubbles, due to the reinforcing mechanism of positive feedback trading, herding, and public attention.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"69 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130055886","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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