ERN: Asset Pricing Models (Topic)最新文献_第10页

Laplace versus the Normal Distribution for Daily Stock Market Returns 股票市场日收益的拉普拉斯与正态分布

ERN: Asset Pricing Models (Topic) Pub Date : 2019-11-02 DOI: 10.2139/ssrn.3479681

Gustavo Harckbart

引用次数: 1

Assessing House Prices in Canada 评估加拿大房价

ERN: Asset Pricing Models (Topic) Pub Date : 2019-11-01 DOI: 10.5089/9781513519180.001

Michal Andrle, Miroslav Plašil

引用次数: 4

Does Risk Premium Help Uncover the Uncovered Interest Parity Failure? 风险溢价有助于揭示未被发现的利率平价失败吗?

ERN: Asset Pricing Models (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3754177

Satish Kumar

{"title":"Does Risk Premium Help Uncover the Uncovered Interest Parity Failure?","authors":"Satish Kumar","doi":"10.2139/ssrn.3754177","DOIUrl":"https://doi.org/10.2139/ssrn.3754177","url":null,"abstract":"Abstract There is a general consensus emerging that the uncovered interest parity (UIP) does not hold or ex-post exchange rate change predicts the interest rate differential in the wrong direction. This paper provides a pioneer study to offer a risk premium based solution to the popular UIP failure using a dataset of 44 advanced and emerging currencies. We report that in the absence of risk premium, UIP failure is more prominent in emerging countries relative to advanced countries since only 34% of the total beta coefficients range between 0.5 and 1.5. Next, we include the risk premium in the main UIP equation using a component generalized autoregressive conditional heteroskedastic-in-mean (CGARCH-M) model and show that the results conform more to the UIP theory since 73% of the beta coefficients range between 0.5 and 1.5. Such a finding validates our argument that risk premium is the main factor responsible for UIP violation and including it in the main equation helps uncover the UIP puzzle, especially in the case of emerging countries. Overall, in the presence of risk premium, in most countries, ex-post exchange rate change bear a positive relationship with the interest rate differential as UIP predicts. This is our key contribution to the literature.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129076213","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

Which Factors Are Over-Owned? Or, Supply and Demand: A Possible Roadmap to Solving the Factor Timing Problem 哪些因素被过度拥有?或者，供给和需求:解决要素时序问题的可能路线图

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-31 DOI: 10.2139/ssrn.3516208

R. Stock

{"title":"Which Factors Are Over-Owned? Or, Supply and Demand: A Possible Roadmap to Solving the Factor Timing Problem","authors":"R. Stock","doi":"10.2139/ssrn.3516208","DOIUrl":"https://doi.org/10.2139/ssrn.3516208","url":null,"abstract":"Recent difficulties with certain factor models have increased interest in finding methods to “time” factor investing better. So far, however, the consensus is that factor timing is difficult. As inspiration for a possible solution, this paper reviews one of the best long-term return prediction models for the S&P 500 – the level of equity ownership in investor portfolios – which handily outperforms commonly-cited valuation-based forecast methods by relying on the more fundamental dynamics of supply and demand. Indeed, it has been called the “greatest predictor of future stock market returns” you’ve (probably) never heard of! For example, it can explain the earnings-less bull market of the 1980s, and overcomes the negative-PE problem of the 2008 Financial Crisis for which the traditional methods masked a good buying opportunity. The first section of the paper recreates and compares the various long-term S&P 500 forecasting methods, using our own robust fitting procedures. This paper then suggests a roadmap for applying this methodology to factor forecasting, since it is already known that standard valuation (or other) methods are not good estimators of factor performance.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125700014","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

Perturbation Expansion for Arrow-Debreu Pricing with Hull-White Interest Rates and Black-Karasinski Credit Intensity 带有Hull-White利率和Black-Karasinski信贷强度的Arrow-Debreu定价的扰动展开

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-24 DOI: 10.2139/ssrn.3287910

C. Turfus

{"title":"Perturbation Expansion for Arrow-Debreu Pricing with Hull-White Interest Rates and Black-Karasinski Credit Intensity","authors":"C. Turfus","doi":"10.2139/ssrn.3287910","DOIUrl":"https://doi.org/10.2139/ssrn.3287910","url":null,"abstract":"We consider a rates-credit hybrid model with the rates governed by a Hull-White short-rate model and the credit intensities by a Black-Karasinski short-rate model. We provide a systematic derivation of a pricing kernel (also known as an Arrow-Debreu formula) for European-style options and/or protection payments, using operator formalism combined with exponential expansion formulae. Our approach gives rise to an analytic expression involving an infinite series in powers of the credit spread (not of its lognormal volatility). We propose that this can be used to provide results to a chosen level of accuracy by truncating the power series at a suitable point and give explicit expressions for all terms up to second order, which level we suggest should in practice suffice. We apply our first-order result to calculate the impact of rates-credit correlation on the pricing of credit default swaps (CDS), extinguishing interest rate swaps, survival-contingent capped Libor flows and contingent CDS with interest rate swap underlying. Very simple analytic expressions are obtained in all cases. Highly favourable comparison is found between even the first order approximations and Monte Carlo simulations.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124853100","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

The Relationship of Financial Factors in Asset Pricing: The Case of Indonesian Market 资产定价中金融因素的关系:以印尼市场为例

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-18 DOI: 10.18510/hssr.2019.7568

Sinta Aryani, S. Wiryono, Deddy P. Koesrindartoto

{"title":"The Relationship of Financial Factors in Asset Pricing: The Case of Indonesian Market","authors":"Sinta Aryani, S. Wiryono, Deddy P. Koesrindartoto","doi":"10.18510/hssr.2019.7568","DOIUrl":"https://doi.org/10.18510/hssr.2019.7568","url":null,"abstract":"Purpose of the study: The study shows how the financial factor of Leverage affects the empirical model of asset pricing together with other financial factors, i.e. Size, Book to Market, Operating Profit, and Investment. The contribution of Leverage in asset pricing will be tested, and its effect will be shown in the excess return of the asset. Methodology: The methodology used in this paper is based on the Fama and French model of asset pricing with additional factors added in the model. Data processing follows the Fama-Mc Beth procedure. Data comes from the Indonesian Stock Market, which consists of more than 500 stocks for ten years period of observation. Main Findings: The financial factor of Leverage affects the empirical model of asset pricing together with, i.e. Size, Book to Market, Operating Profit, and Investment. All the financial factors in the model are stationary around their mean, or they are non-stationary due to unit-roots. All the independents' variables have P-Value less than 10%. Implications: This study will be useful for financial investors in building an effective portfolio stock investment. By applying this model to their portfolio investment, the investors could effectively manage their portfolio return. On the management side, managing their financing structure, e.g. Leverage is the objective of the firm to maximize returns of the firms. Novelty/Originality of this study: The empirical research with the involvement of the financial factor of Leverage has not been performed in Indonesia. The Leverage as the single factor of asset pricing has been considered as a significant financial factor for asset pricing, however, how the Leverage contributes to asset pricing compares to other financial factors has not examined yet.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122669461","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

ETF Arbitrage and International Diversification ETF套利与国际多元化

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-17 DOI: 10.2139/ssrn.3287417

I. Filippou, A. Gozluklu, Hari Rozental

引用次数: 4

What Interbank Rates Tell Us About Time-Varying Disaster Risk 银行间利率告诉我们的时变灾难风险

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-13 DOI: 10.2139/ssrn.3469087

Hitesh Doshi, Hyung-joo Kim, S. Seo

引用次数: 0

Estimating Permanent Price Impact via Machine Learning 通过机器学习估计永久价格影响

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-02 DOI: 10.2139/ssrn.3488840

R. Philip

引用次数: 15

A Fair Comparison Framework: Risk and Reward in Private & Public Investments 一个公平的比较框架:私人与公共投资的风险与回报

ERN: Asset Pricing Models (Topic) Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3728660

V. Jeet

{"title":"A Fair Comparison Framework: Risk and Reward in Private & Public Investments","authors":"V. Jeet","doi":"10.2139/ssrn.3728660","DOIUrl":"https://doi.org/10.2139/ssrn.3728660","url":null,"abstract":"How does an asset with a higher expected return but higher risk compare to an asset with a lower expected return but lower risk? A natural answer is to rank them based on their risk-adjusted returns. But what if the expected return and risk are not estimated reliably? This is the challenge of investing in private markets and comparing their performance with public markets. We offer a framework to fairly compare private and public investment performance. We present a methodology to reliably estimate the expected return and risk of private assets using the notion of a self-contained, self-financed portfolio. Our estimates are intuitive as they are based on terminal wealth outcomes (rather than a time-series analysis) resulting from investing in private markets. Using these estimates, we compare a variety of investments including PE funds, private debt, public equity and bond indices. Our comparison also accounts for the limits and cost of leverage, when applicable. We find that terminal wealth-based means and volatilities of private investment returns are significantly different from those computed using traditional time-series return observations. We show that the ranks of various investments based on levered returns (with interest, fees, expenses and manager alpha) can be potentially different from those based on unlevered returns. Importantly, levered returns in mezzanine investments are competitive with buyout investments and that investment in long public market Baa-corporate bonds are, when levered to match risk, competitive with private market investments.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132231783","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