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Estimating Risk-Return Relations with Analysts Price Targets 与分析师的价格目标估计风险收益关系
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2018-06-18 DOI: 10.2139/ssrn.3198431
Liuren Wu
{"title":"Estimating Risk-Return Relations with Analysts Price Targets","authors":"Liuren Wu","doi":"10.2139/ssrn.3198431","DOIUrl":"https://doi.org/10.2139/ssrn.3198431","url":null,"abstract":"Asset pricing tests often replace ex ante return expectation with ex post realization. The large deviation between the two drastically weakens the power of these tests. This paper proposes to use analysts consensus price target for a stock as the market expectation of the stock’s future price to directly construct the stock’s expected excess return. Analyzing the expected excess return behavior both over time and across different stocks shows that classic asset pricing theory works much better on ex ante return expectations than on ex post realizations. The analysis also provides new insights on the pricing of common equity risk factors.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"242 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131054063","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
Factors Determine Stock Return of Livestock Feed Companies: Common Effect Model Analysis 决定饲料企业股票收益的因素:共同效应模型分析
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2018-05-01 DOI: 10.2139/ssrn.3649066
Endri Endri
{"title":"Factors Determine Stock Return of Livestock Feed Companies: Common Effect Model Analysis","authors":"Endri Endri","doi":"10.2139/ssrn.3649066","DOIUrl":"https://doi.org/10.2139/ssrn.3649066","url":null,"abstract":"The main objective of this study was provide evidence that would contribute to efforts to explain that the profitability ratios represented by Return On Asset, liquidity ratio represented by the Current Ratio, solvency ratio represented by Debt to Equity Ratio, the market ratio represented by Price Earning Ratio and special variable of imported of animal feed import can be used to predict stock returns that may occur in the future. Testing is done using the data selected by purposive sampling in LQ 45 group companies in the Indonesia Stock exchange, using data period 2012-2016. Quantitative data analysis used to the the hypothesis that is delivered through the presentation of data. The result of this research have shown that ROA and price of imported animal feed have positive and significant effect. CR, DER, and PER has insignificant effect to stock returns.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121724621","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: 13
Optimal Timing to Trade Along a Randomized Brownian Bridge 随机布朗桥的最佳交易时机
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-12-31 DOI: 10.2139/ssrn.3095050
Tim Leung, Jiao Li, Xin Li
{"title":"Optimal Timing to Trade Along a Randomized Brownian Bridge","authors":"Tim Leung, Jiao Li, Xin Li","doi":"10.2139/ssrn.3095050","DOIUrl":"https://doi.org/10.2139/ssrn.3095050","url":null,"abstract":"This paper studies an optimal trading problem that incorporates the trader’s market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by an exponential randomized Brownian bridge (rBb) and consider various prior distributions for the random endpoint. We solve for the optimal strategies to sell a stock, call, or put, and analyze the associated delayed liquidation premia. We solve for the optimal trading strategies numerically and compare them across different prior beliefs. Among our results, we find that disconnected continuation/exercise regions arise when the trader prescribe a two-point discrete distribution and double exponential distribution.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128854858","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: 13
Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation Sabr模型下连续监测障碍期权的定价:一个封闭近似
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-12-08 DOI: 10.2139/ssrn.3089039
Nian Yang, Yanchu Liu, Zhenyu Cui
{"title":"Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation","authors":"Nian Yang, Yanchu Liu, Zhenyu Cui","doi":"10.2139/ssrn.3089039","DOIUrl":"https://doi.org/10.2139/ssrn.3089039","url":null,"abstract":"The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the FX markets. In this paper, we develop closed-form formulas to approximate various types of barrier option prices (down-and-out/in, up-and-out/in) under the SABR model. We first derive an approximate formula for the survival density. The barrier option price is the one-dimensional integral of its payoff function and the survival density, which can be easily implemented and quickly evaluated. The approximation error of the survival density is also analyzed. To the best of our knowledge, it is the first time that analytical (approximate) formulas for the survival density and the barrier option prices for the SABR model are derived. Numerical experiments demonstrate the validity and efficiency of these formulas.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117242644","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: 4
Datestamping the Bitcoin and Ethereum Bubbles 戳戳比特币和以太坊泡沫
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-12-01 DOI: 10.2139/ssrn.3079712
S. Corbet, B. Lucey, L. Yarovaya
{"title":"Datestamping the Bitcoin and Ethereum Bubbles","authors":"S. Corbet, B. Lucey, L. Yarovaya","doi":"10.2139/ssrn.3079712","DOIUrl":"https://doi.org/10.2139/ssrn.3079712","url":null,"abstract":"We examine the existence and dates of pricing bubbles in Bitcoin and Ethereum, two popular cryptocurrencies using the (Phillips et al., 2011) methodology. In contrast to previous papers, we examine the fundamental drivers of the price. Having derived ratios that are economically and computationally sensible, we use these variables to detect and datestamp bubbles. Our conclusion is that there are periods of clear bubble behaviour, with Bitcoin now almost certainly in a bubble phase.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114736979","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: 487
Marketwide Price Pressure 市场价格压力
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-11-15 DOI: 10.2139/ssrn.3049682
Vuk Talijan
{"title":"Marketwide Price Pressure","authors":"Vuk Talijan","doi":"10.2139/ssrn.3049682","DOIUrl":"https://doi.org/10.2139/ssrn.3049682","url":null,"abstract":"This paper provides evidence of the price-pressure hypothesis in the aggregate, daily stock-market return. Events that convey no new information about fundamentals, but entail large transfers of cash, predict the daily stock-market return. This predictability relates to the growth of passive investment strategies. Passive investment strategies are the conduit dispersing price pressure across securities. Three examinations – of dividend payouts, reversals after ETF fund flows, and merger effective dates – affirm the price-pressure hypothesis and show the daily stock-market return to be predictable.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115726720","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 Using Risk-Neutral Probabilities to Price Assets 运用风险中性概率为资产定价
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-11-10 DOI: 10.2139/ssrn.3114126
Kuo-Ping Chang
{"title":"On Using Risk-Neutral Probabilities to Price Assets","authors":"Kuo-Ping Chang","doi":"10.2139/ssrn.3114126","DOIUrl":"https://doi.org/10.2139/ssrn.3114126","url":null,"abstract":"This paper has used the Arbitrage Theorem under binomial case to show that in a complete market with no transaction costs and no arbitrage, for any asset, the current spot price is a function of the risk-free interest rate, the future possible prices and their probabilities. These probabilities are the actual world probabilities, not the so-called risk-neutral probabilities. The paper also proves that for the levered firm, (i) under riskless debt, increasing the debt-equity ratio increases the variance of the rate of return on equity and has no effect on the rate of return on debt; and (ii) under risky debt, increasing the debt-equity ratio increases the variance of the rate of return on debt but does not affect the probability density function of the rate of return on equity. With the actual world probabilities, it can be shown that changes in the debt-equity ratio do not affect the expected rate of return on the equity of the levered firm. These findings refute the Modigliani-Miller second proposition that the expected rate of return on the equity of the levered firm increases in proportion to the debt-equity ratio. With the actual world probabilities, it is also found that increasing the variance of the underlying asset price may either increase or decrease the option prices.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131037256","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
Beta: The Good, the Bad and the Ugly 贝塔:好的，坏的和丑陋的
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-11-09 DOI: 10.2139/ssrn.3012675
Joost Driessen, Jeroen van Zundert
{"title":"Beta: The Good, the Bad and the Ugly","authors":"Joost Driessen, Jeroen van Zundert","doi":"10.2139/ssrn.3012675","DOIUrl":"https://doi.org/10.2139/ssrn.3012675","url":null,"abstract":"This paper decomposes aggregate and individual stock returns into cash flow news, interest rate news, and risk premium news. We then extend the “good beta, bad beta” approach of Campbell and Vuolteenaho (2004) by allowing for a third beta: exposure to interest rate news. Using various stock portfolio sorts, we find that interest rate betas carry a higher price of risk than the betas for cash flow news and risk premium news. We also find that interest rate news explains over 1/3rd of all variation in stock market returns, and that interest rates negatively affect future risk premiums.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130983603","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
Heavy-Tailed Distributions, Volatility Clustering and Asset Prices of the Precious Metal 重尾分布、波动聚类与贵金属资产价格
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-07-26 DOI: 10.2139/ssrn.3021110
Wei Ma
{"title":"Heavy-Tailed Distributions, Volatility Clustering and Asset Prices of the Precious Metal","authors":"Wei Ma","doi":"10.2139/ssrn.3021110","DOIUrl":"https://doi.org/10.2139/ssrn.3021110","url":null,"abstract":"In the years of 21st century, the world palladium demand has increased steadily and dramatically. However, its spot price still has not reached the peak level observed in January 17, 2001. In 2008, a single-day increase of the palladium spot price has exceeded 37%, which witnesses significant risk for investments in the world palladium market. In this paper, we apply the GARCH model with heavy-tailed distributions into the palladium spot returns series for risk management purpose. We compare empirical performance of the Student’s t distribution and the normal reciprocal inverse Gaussian (NRIG) distribution. Our results show the newly-developed distribution, the NRIG, cannot outperform the older fashion one, the Student’s t distribution. Nevertheless, our results do demonstrate that it is important to incorporate conditional heavy tails for precious metals’ spot return modelling.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127554082","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
Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less 广度动量和警惕资产配置(VAA):少输多赢
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-07-14 DOI: 10.2139/ssrn.3002624
W. Keller, Jan Willem Keuning
{"title":"Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less","authors":"W. Keller, Jan Willem Keuning","doi":"10.2139/ssrn.3002624","DOIUrl":"https://doi.org/10.2139/ssrn.3002624","url":null,"abstract":"VAA (Vigilant Asset Allocation) is a dual-momentum based investment strategy with a vigorous crash protection and a fast momentum filter. Dual momentum combines absolute (trendfollowing) and relative (strength) momentum. Compared to the traditional dual momentum approaches, we have replaced the usual crash protection through trendfollowing on the asset level by our breadth momentum on the universe level instead. As a result, the VAA strategy is on average often more than 50% out of the market. We show, however, that the resulting momentum strategy is by no means sluggish. By using large and small universes with US and global ETF-like monthly data starting 1925 and 1969 respectively, we arrive out-of-sample at annual returns above 10% with max drawdowns below 15% for each of these four universes.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131687093","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
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