ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)最新文献_第7页

Asset Pricing with Extreme Liquidity Risk 极端流动性风险下的资产定价

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-06-21 DOI: 10.2139/ssrn.2850278

Ying Wu

引用次数: 17

Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates 市场异常动态与无风险利率计量误差

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-06-07 DOI: 10.2139/ssrn.2934769

C. Hui, C. Lo, Chin-To Fung

{"title":"Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates","authors":"C. Hui, C. Lo, Chin-To Fung","doi":"10.2139/ssrn.2934769","DOIUrl":"https://doi.org/10.2139/ssrn.2934769","url":null,"abstract":"Two-market anomalies since the 2008 global financial crisis – the widespread failure of covered interest parity (CIP) in foreign exchange swaps and negative 30-year US dollar interest rate swap-Treasury spreads have been challenging for conventional asset pricing models. Using a three-factor non-Gaussian-term structure model for the US Treasuries, an estimated short-rate premium tends to move in tandem with the CIP deviations and negative swap spread. The dynamics between the premium and two-market anomalies are found to be cointegrated, suggesting a long-run equilibrium between them. As the premium is found to be empirically related to demand for Treasuries, including the Fed’s quantitative easing program and demand for safe assets, it may reflect a convenience yield embedded in the yield curve such that the observed Treasury interest rate is lower than the true risk-free interest rate. The anomalies manifest such measurement error as additional spreads on the observed US dollar interest rates for pricing the corresponding instruments, consistent with recent studies that the US dollar and its interest rates play an important role in determining the CIP deviations.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115063869","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

No-arbitrage Private Market Equity Prices and Transaction Costs: Generalized IPCPL Theory and Private Market Empirical Tests 无套利私人市场股票价格与交易成本:广义IPCPL理论与私人市场实证检验

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-03-23 DOI: 10.2139/ssrn.2939845

David H Goodman, Malcolm J. McLelland

引用次数: 0

Institutional Investors and Equity Prices: Information, Behavioral Bias, and Arbitrage 机构投资者与股票价格:信息、行为偏差和套利

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-03-01 DOI: 10.2139/ssrn.2926401

Bing Han, Dongmin Kong

引用次数: 9

Asset Prices and Portfolio Choice with Learning from Experience 从经验中学习资产价格和投资组合选择

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-02-01 DOI: 10.2139/ssrn.2378330

P. Ehling, A. Graniero, C. Heyerdahl-Larsen

引用次数: 52

Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods 用贝叶斯和非参数方法从每日数据中识别价格跳跃

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2017-01-22 DOI: 10.2139/ssrn.2903631

Milan Fičura, J. Witzany

{"title":"Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods","authors":"Milan Fičura, J. Witzany","doi":"10.2139/ssrn.2903631","DOIUrl":"https://doi.org/10.2139/ssrn.2903631","url":null,"abstract":"Non-parametric approach to financial time series jump estimation, using the L-Estimator, is compared with the parametric approach utilizing a Stochastic-Volatility-Jump-Diffusion (SVJD) model, estimated with MCMC and extended with Particle Filters to estimate the out-sample evolution of its latent state variables, such as the jump occurrences. The comparison is performed on simulated time series with different kinds of dynamics, including Poisson jumps, self-exciting Hawkes jumps with long-term clustering, as well as co-jumps. In addition to that, a comparison is performed on the real world daily time series of 4 major currency exchange rates. The results from the simulation study show that for the purposes of in-sample estimation does the MCMC based parametric approach significantly outperform the L-Estimator. In the case of the out-sample estimates, based on a combination of MCMC an Particle Filters, used to sequentially estimate the jump occurrences immediately at the times at which the jumps occur, does the parametric approach achieve a similar accuracy as the non-parametric one in the case of the simulations with Poisson jumps that are relatively large, and it outperforms the non-parametric approach in the case of Hawkes jumps when the jumps are large. On the other hand, the L-Estimator provides better results than the parametric approach in all of the cases when the simulated jumps are small (1% or less), regardless of the jump process dynamics. The application of the methods to foreign exchange rate time series further shows that the estimates of the parametric method may be biased in the case when large outlier jumps occur in the time series as well as when the stochastic volatility grows too high (as happened during the crisis). In both of these cases, the non-parametric L-Estimator based approach seems to provide more robust jump estimates, less influenced by the mentioned issues.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117112173","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

Arrival Rate Functions 到达率函数

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2016-12-01 DOI: 10.2139/ssrn.2879083

D. Madan

引用次数: 0

Equilibrium States in OTC Markets with Market Makers 有做市商的场外交易市场的均衡状态

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2016-10-24 DOI: 10.2139/ssrn.2858448

N. Ndouné, Paul Samuel Njiki Njiki

引用次数: 0

Approximate Arbitrage-Free Option Pricing Under the SABR Model SABR模型下的近似无套利期权定价

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2016-10-19 DOI: 10.2139/ssrn.2854797

Nian Yang, Nan Chen, Yanchu Liu, Xiangwei Wan

引用次数: 15

Pricing and Liquidity in Decentralized Asset Markets 分散资产市场的定价与流动性

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2016-09-21 DOI: 10.2139/SSRN.2841919

Semih Uslu

{"title":"Pricing and Liquidity in Decentralized Asset Markets","authors":"Semih Uslu","doi":"10.2139/SSRN.2841919","DOIUrl":"https://doi.org/10.2139/SSRN.2841919","url":null,"abstract":"I develop a search‐and‐bargaining model of endogenous intermediation in over‐the‐counter markets. Unlike the existing work, my model allows for rich investor heterogeneity in three simultaneous dimensions: preferences, inventories, and meeting rates. By comparing trading‐volume patterns that arise in my model and are observed in practice, I argue that the heterogeneity in meeting rates is the main driver of intermediation patterns. I find that investors with higher meeting rates (i.e., fast investors) are less averse to holding inventories and more attracted to cash earnings, which makes the model corroborate a number of stylized facts that do not emerge from existing models: (i) fast investors provide intermediation by charging a \u0000 speed premium, and (ii) fast investors hold more extreme inventories. Then, I use the model to study the effect of trading frictions on the supply and price of liquidity. On social welfare, I show that the interaction of meeting rate heterogeneity with optimal inventory management makes the equilibrium inefficient. I provide a financial transaction tax/subsidy scheme that corrects this inefficiency, in which fast investors cross‐subsidize slow investors.\u0000","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134161401","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: 76