ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)最新文献_第9页

Pricing European Options in Markets With Transaction Costs 考虑交易成本的欧洲期权市场定价

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-11-19 DOI: 10.2139/ssrn.2693046

S. Sahakyan, V. Sahakyan

引用次数: 0

Idiosyncratic Risk Matters to Large Stocks! 特质风险对大盘股很重要!

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-11-15 DOI: 10.2139/ssrn.2716357

Yan Luo, Guojun Wu, Yexiao Xu

{"title":"Idiosyncratic Risk Matters to Large Stocks!","authors":"Yan Luo, Guojun Wu, Yexiao Xu","doi":"10.2139/ssrn.2716357","DOIUrl":"https://doi.org/10.2139/ssrn.2716357","url":null,"abstract":"Despite the debate on the pricing of idiosyncratic risk, it is generally believed that the pricing effect is likely to exist among small stocks due to lack of diversification and information asymmetry predicted by Merton (1987). However, given the size of Asset Under Management, most institutional investors focus on large stocks and hold portfolios different from that of the market portfolio in order to attract investors and to differentiate themselves. Moreover, large stocks will have a larger impact on the performance of a portfolio than small stocks, and institutional investors are more likely to be questioned when large stocks perform poorly. These unique features can forced institutional investors to care about idiosyncratic risk of larger stocks more than that of small stocks in their portfolio. Recognizing this important difference on the impact of idiosyncratic risk, we take an unorthodox approach by focusing on the effect of idiosyncratic risk within different groups of stocks. As a result, we find that large stocks’ idiosyncratic volatilities indeed are positively related to their future stock returns, while small stocks idiosyncratic volatilities are negatively related to their future returns as documented. This finding also allows us to reconcile the inconsistent findings on the pricing of idiosyncratic risk in the current literature.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"198 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130513227","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: 5

Remark on Variance Swaps Pricing 价差掉期定价刍议

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-11-08 DOI: 10.2139/ssrn.2687664

I. Gikhman

引用次数: 0

Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor 劳动力异质性与资产价格:熟练劳动力的重要性

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-08-01 DOI: 10.2139/ssrn.2155295

F. Belo, Xiaoji Lin, Jun Li, Xiaofei Zhao

{"title":"Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor","authors":"F. Belo, Xiaoji Lin, Jun Li, Xiaofei Zhao","doi":"10.2139/ssrn.2155295","DOIUrl":"https://doi.org/10.2139/ssrn.2155295","url":null,"abstract":"We show that heterogeneity in the composition of the labor force affects asset prices in financial markets in important ways. Theoretically, we combine a standard model of labor heterogeneity (Acemoglu, 2002) with a standard neoclassical q-theory model with labor adjustment costs. We then show that the negative expected return-hiring rate relation documented in previous studies is steeper in industries with higher labor adjustment costs. Using the overall industry level of labor skill as a proxy for the industry specific size of labor adjustment costs, we provide empirical support for this prediction. The negative expected return-hiring rate relation is twice as large among industries with higher labor skills than in industries with lower labor skills. In addition, we uncover a novel unconditional labor skill return spread. Firms in industries with more skilled labor have on average higher stock returns than firms in industries with low skilled labor, but this difference is only large across small firms. According to this result, firms with higher labor skills labor tend to be more risky because skilled labor is more costly to adjust, which in turn affects the firm's sensitivity to aggregate shocks in the economy.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"233 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116021775","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: 135

International Stock Market Leadership and its Determinants 国际股市的领导地位及其决定因素

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-07-17 DOI: 10.2139/ssrn.2672594

Charlie X. Cai, Mobarek Asma, Qi Zhang

引用次数: 4

Measuring Mispricing in Experimental Asset Markets 衡量实验性资产市场中的错误定价

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-06-26 DOI: 10.2139/ssrn.2493502

Owen Powell

引用次数: 3

On Latency and Volatility 关于延迟和波动性

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-06-20 DOI: 10.2139/ssrn.2621053

A. Kirilenko, R. Sowers

{"title":"On Latency and Volatility","authors":"A. Kirilenko, R. Sowers","doi":"10.2139/ssrn.2621053","DOIUrl":"https://doi.org/10.2139/ssrn.2621053","url":null,"abstract":"How does latency affect the dynamics of asset prices in modern markets? In this paper, we present a simple model of latency. In our model, latency is a delay between the observed asset price and its true, but latent fundamental price. Because of latency, the observed asset price shadows the true price at some deformed distance away. In other words, latency leads to the deformation in the clock of an asset's evolution. Deformation in the clock links latency to fluctuations in volatility; so, latency should be in some way related to the volatility of volatility. A standard way to characterize the volatility of volatility, however, hinges upon first estimating volatility at an intermediate fixed time scale, and then looking at the fluctuations of volatility. This is going to miss the effect of latency. Instead, we define a volatility of instantaneous volatility (VIV), which pushes the notion of the volatility of volatility down to a microscopic level and enables us to link volatility to latency. We demonstrate the link between the VIV and latency first for a fixed latency and then suggest how to generalize it to stochastic, evolving latency. While the intuition that latency ends up in the volatility of volatility is simple, the math quickly gets out of hand as we need to keep track of many moving parts inside deformed clocks. We go through all this math because we believe that with the continuing automation of the trading process, latency itself has become a market factor which should be explicitly modeled and then - when the models become robust like those for volatility - traded. Traders who wish to hedge their exposure to or speculate on marketwide latency can take positions in something akin to the VIX; we call the LIX - the Latency Index. This could help price the latency risk and allocate it around.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114346509","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 Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material 离散监测方差互换定价的封闭形式展开方法-在线补充资料

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-05-09 DOI: 10.2139/ssrn.2604517

Chenxu Li, Xiaocheng Li

引用次数: 1

Exact Simulation of Multi-Dimensional Stochastic Differential Equations 多维随机微分方程的精确模拟

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-04-24 DOI: 10.2139/ssrn.2598505

P. Henry-Labordère, Xiaolu Tan, N. Touzi

{"title":"Exact Simulation of Multi-Dimensional Stochastic Differential Equations","authors":"P. Henry-Labordère, Xiaolu Tan, N. Touzi","doi":"10.2139/ssrn.2598505","DOIUrl":"https://doi.org/10.2139/ssrn.2598505","url":null,"abstract":"We develop a weak exact simulation technique for a process X defined by a multi-dimensional stochastic differential equation (SDE). Namely, for a Lipschitz function g, we propose a simulation based approximation of the expectation E[g(X_{t_1}, cdots, X_{t_n})], which by-passes the discretization error. The main idea is to start instead from a well-chosen simulatable SDE whose coefficients are up-dated at independent exponential times. Such a simulatable process can be viewed as a regime-switching SDE, or as a branching diffusion process with one single living particle at all times. In order to compensate for the change of the coefficients of the SDE, our main representation result relies on the automatic differentiation technique induced by Elworthy's formula from Malliavin calculus, as exploited by Fournie et al. for the simulation of the Greeks in financial applications.Unlike the exact simulation algorithm of Beskos and Roberts, our algorithm is suitable for the multi-dimensional case. Moreover, its implementation is a straightforward combination of the standard discretization techniques and the above mentioned automatic differentiation method.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117139019","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

Economic Freedom and Share Prices. A Panel Data Analysis for EU, Japan and USA 经济自由和股票价格。欧盟、日本和美国的面板数据分析

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-04-20 DOI: 10.2139/SSRN.2596513

M. Georgiou

引用次数: 1