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Identifying and Pricing Adverse Selection Risk with VPIN VPIN逆向选择风险的识别与定价
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2016-02-01 DOI: 10.2139/ssrn.2599871
Paul Borochin, Stephen Rush
{"title":"Identifying and Pricing Adverse Selection Risk with VPIN","authors":"Paul Borochin, Stephen Rush","doi":"10.2139/ssrn.2599871","DOIUrl":"https://doi.org/10.2139/ssrn.2599871","url":null,"abstract":"We perform the first large-sample estimation of the Volume Synchronized Probability of Informed Trading (VPIN) measure on the NYSE TAQ universe, enabling us to test the validity of VPIN with high statistical power and to do traditional asset pricing tests of informed trading. Informed trading measured by VPIN is priced, and is not explained by firm characteristics such as volume, volatility, or liquidity, supporting the validity of the measure. Additionally, we create a novel signed version of VPIN to identify the direction of informed trades. A portfolio long low-VPIN stocks and short high-VPIN ones delivers a monthly five-factor alpha of .18%, which rises to .29% when using signed VPIN. A trading strategy following this signed VPIN factor delivers an annualized five-factor BHAR of 11.45%. We further document a reversal in stock performance in portfolio sorts on signed VPIN, the incorporation of which into a trading strategy improves performance to an annualized BHAR of 17.34%.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132468757","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
Risk-On/Risk-Off: Financial Market Response to Investor Fear 风险开启/风险关闭:金融市场对投资者恐惧的反应
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2016-01-18 DOI: 10.2139/ssrn.2717330
L. Smales
{"title":"Risk-On/Risk-Off: Financial Market Response to Investor Fear","authors":"L. Smales","doi":"10.2139/ssrn.2717330","DOIUrl":"https://doi.org/10.2139/ssrn.2717330","url":null,"abstract":"This paper examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there is a decline in stock markets, bond yields, and high-yielding currencies (AUD and NZD), while the USD appreciates. Returns become more sensitive to changes in the level of investor fear during the financial crisis of 2008–09, when investor fear spikes sharply. Analysis of market returns subsequent to periods of extreme levels of investor fear suggests some predictive ability for future returns, and it is suggested that this may be used to develop a profitable trading strategy. Taken together, the results confirm that financial market returns are closely related to prevailing levels of investor fear.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128482332","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: 28
Factor Risk Parity with Portfolio Weight Constraints 投资组合权重约束下的因素风险平价
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2016-01-06 DOI: 10.2139/ssrn.2615695
Marco Erling, Steffen Möllenhoff
{"title":"Factor Risk Parity with Portfolio Weight Constraints","authors":"Marco Erling, Steffen Möllenhoff","doi":"10.2139/ssrn.2615695","DOIUrl":"https://doi.org/10.2139/ssrn.2615695","url":null,"abstract":"Handling risk factors in the context of a multi-asset risk parity portfolio allocation has created increased interest in recent literature. When allocating along risk factors through principal components, one major problem that persists is the potential existence of leverage or short positions for the optimal portfolio. It is possible, however, to avoid these positions if investors accept equal risk contributions for the first few risk factors, which explain most of the portfolio variation, and allow residual risk contributions to \"float\". Convex polytopes describe the entire set of solutions if the restrictions hold. A model to handle these kind of factor risk parity allocations with portfolio weight constraints is the subject of this paper. Focusing on equality in the first two risk contributions and requiring a sufficiently high explanation level for them is the main challenge. Different numerical allocation strategies for backtesting and performing the empirical analysis along two multi-asset data sets with different period lengths and a different number of assets are used.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115636401","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
Micro-Foundation of ARCH Model ARCH模型的微观基础
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2016-01-04 DOI: 10.2139/ssrn.2710457
T. Mizuta
{"title":"Micro-Foundation of ARCH Model","authors":"T. Mizuta","doi":"10.2139/ssrn.2710457","DOIUrl":"https://doi.org/10.2139/ssrn.2710457","url":null,"abstract":"The Japanese version of this paper can be found at http://ssrn.com/abstract=2710516.Many macroeconomic study argued macroeconomic models should be aggregated by micro processes models (\"micro-foundation\") and many micro-founded macroeconomic models were built. On the other hand, there are many models for price variation of a risk asset, which is macro phenomena, however, there are few studies for micro-foundation of such models. In this study we tried micro-foundation of an ARCH model using intelligence of artificial market simulation studies. That is we tried to clarify which micro processes determine each coefficient of an ARCH model. Then, we showed that the dispersion of investors' estimated prices is larger or the orders by the buy-sell imbalance taking liquidity are more, the volatility is larger. And we showed that the ration of the normal investors taking liquidity to the noise traders providing liquidity is higher or the measure of risk aversion of the normal investors is lower, the magnitude of volatility clustering is larger.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134428167","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 Impact of Risk Management in Multinational Corporations Hedging 风险管理对跨国公司套期保值的影响
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2015-12-23 DOI: 10.2139/ssrn.2707558
S. Javeed, Muhammad Arshad
{"title":"The Impact of Risk Management in Multinational Corporations Hedging","authors":"S. Javeed, Muhammad Arshad","doi":"10.2139/ssrn.2707558","DOIUrl":"https://doi.org/10.2139/ssrn.2707558","url":null,"abstract":"This paper showed the impact risk management in Multinational Corporations and how firms utilized hedging policies. The paper consist different variables in which firm value are dependent variable while independent variables are profitability, firm size, leverage and growth options. This study finds that hedging does not significantly effect on firm value while other financial factors such as profitability impact the value of firm. By selecting Media sector the paper examines, calculate and compare the company’s results.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127669099","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
Divergence and the Price of Uncertainty 分歧和不确定性的代价
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2015-11-23 DOI: 10.2139/ssrn.2694825
P. Schneider, F. Trojani
{"title":"Divergence and the Price of Uncertainty","authors":"P. Schneider, F. Trojani","doi":"10.2139/ssrn.2694825","DOIUrl":"https://doi.org/10.2139/ssrn.2694825","url":null,"abstract":"Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence systematically decomposes the price of uncertainty into the contributions of distinct implied moments. Empirically, implied market divergence and market divergence premia vary substantially, in the time series, in the cross-section and in dependence of the investment horizon, making the shortcomings of a model easily visible.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117266441","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: 20
Drivers of Sovereign Recovery Risk 主权债务恢复风险的驱动因素
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2015-10-30 DOI: 10.2139/ssrn.2603104
M. Müller, M. Uhrig-Homburg
{"title":"Drivers of Sovereign Recovery Risk","authors":"M. Müller, M. Uhrig-Homburg","doi":"10.2139/ssrn.2603104","DOIUrl":"https://doi.org/10.2139/ssrn.2603104","url":null,"abstract":"What determines the recovery of sovereign bond holders in the face of a credit event? This paper studies empirical determinants for sovereign recovery risk. Guided by theoretically backed hypotheses we use a sample of 102 past restructurings and empirically test the relation between haircut sizes and their economic drivers. We find a significant linkage of the haircut size to a debtor's ability to repay as well as his willingness. Distinguishing between excusable and strategic defaulters in a new way enables us to empirically show that punishment is of markedly increased effectiveness amongst the strategic cohort. Based on these results we develop a forecasting-model for predicting haircuts conditional on the restructurings taking place within the year ahead and assess the performance of the model by applying it to a sample of the 45 restructurings observed from 1991 to present.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117195153","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
Valuation: Accounting for Risk and the Expected Return 估价:风险与预期收益的会计处理
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2015-10-13 DOI: 10.1111/abac.12067
S. Penman
{"title":"Valuation: Accounting for Risk and the Expected Return","authors":"S. Penman","doi":"10.1111/abac.12067","DOIUrl":"https://doi.org/10.1111/abac.12067","url":null,"abstract":"type=\"main\"> Under accounting principles, the recognition of earnings is path-dependent and the path depends on risk and its resolution: under the so-called realization principle, earnings are not booked until uncertainty is resolved. In asset pricing terms, the principle means that earnings cannot be recognized until the firm can book a low-beta asset such as cash or a near-cash discounted receivable. If the risk to which this accounting responds is priced risk, the accounting indicates the expected return. This paper connects accounting under this principle to risk and return, summarizes the supporting empirical evidence, and examines the implications for research on the implied cost of capital, cash-flow betas, asset pricing models that imbed accounting numbers, and papers that assume an autoregressive model for the earnings path to infer the expected return. The accounting that captures risk and its resolution also has implications for the unsolved issue of specifying the appropriate accounting for accounting-based valuation models and, indeed, for financial accounting standards.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115733686","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: 53
Uncovered Interest Rate Parity: A Relation to Global Trade Risk 未揭示的利率平价:与全球贸易风险的关系
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2015-10-05 DOI: 10.2139/ssrn.2669454
A. Constantin, Tâmara Nunes
{"title":"Uncovered Interest Rate Parity: A Relation to Global Trade Risk","authors":"A. Constantin, Tâmara Nunes","doi":"10.2139/ssrn.2669454","DOIUrl":"https://doi.org/10.2139/ssrn.2669454","url":null,"abstract":"The paper gives evidence of a novel pricing factor for the cross-section of carry trade returns based on trade relations between countries. In particular, we apply network theory on countries' bilateral trade to construct a measure for countries' exposure to a global trade risk. A high level of exposure to global trade risk implies that the economic activity in one country is highly dependent on the economic activity of its trade partners and on aggregate trade flow, which reflects in carry trade returns. We find empirically that low interest rate currencies are seen by investors as a hedge against global trade risk while high interest rate currencies deliver low returns when global trade risk is high. These results provide evidence on the underlying macroeconomic sources of systematic risk in currency markets.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123966603","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 Weighted Likelihood Estimator for Operational Risk Data: Improving the Accuracy of Capital Estimates by Robustifying Maximum Likelihood Estimates 操作风险数据的加权似然估计:通过鲁棒化最大似然估计提高资本估计的准确性
ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2015-09-25 DOI: 10.21314/JOP.2015.164
A. Colombo, A. Lazzarini, Silvia Mongelluzzo
{"title":"A Weighted Likelihood Estimator for Operational Risk Data: Improving the Accuracy of Capital Estimates by Robustifying Maximum Likelihood Estimates","authors":"A. Colombo, A. Lazzarini, Silvia Mongelluzzo","doi":"10.21314/JOP.2015.164","DOIUrl":"https://doi.org/10.21314/JOP.2015.164","url":null,"abstract":"Severity parameters play a crucial role in the operational risk (OpRisk) capital estimates for Advanced Measurement Approach banks. When relying on maximum likelihood estimates (MLEs), nonrobustness to small deviations from the standard regularity conditions and to the inclusion of single data points challenges the stability of the capital estimates severely. We propose the use of a robust generalization of MLEs for the modeling of operational loss data. The weighted likelihood estimator we propose is a special case of the estimator developed by Choi, Hall and Presnel in 2000, and it is robust yet still consistent and efficient.We describe its basic features, discussing its main theoretical properties and how to calibrate the estimation procedure. Finally, using both simulation studies and real data, we show how use of the weighted likelihood estimator can improve the stability of OpRisk capital estimates. The proposed approach generally allows one to reduce the upward capital bias and to obtain capital estimates that are more stable under contamination or with isolated data.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115326065","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
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