Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal最新文献_第3页

Betas and Liquidity: Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks 贝塔系数与流动性:非对称资产流动性和相关资金冲击下的系统价格风险差异

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2013-02-24 DOI: 10.2139/ssrn.2134945

Roland Umlauft

{"title":"Betas and Liquidity: Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks","authors":"Roland Umlauft","doi":"10.2139/ssrn.2134945","DOIUrl":"https://doi.org/10.2139/ssrn.2134945","url":null,"abstract":"This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for the liquid asset class beyond their true level of risk from the underlying dividend process with regard to the market risk factor. Vice-versa, the risk of illiquid assets becomes understated. Moreover it is argued that a reduction of trading cost in the cross-section will reduce such differences and lead to a convergence of risk factor estimates towards the true value of underlying risk. Empirical evidence using data surrounding the tick-reduction event at the New York Stock Exchange is supporting this conjecture. It is found that beta estimates for liquid assets exceed their illiquid peers, while the difference in beta between the groups is significantly reduced after the exogenous trading cost reduction due to the tick-change event.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128684104","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

The Cost of Funding Flow Correlation 资金流相关成本

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2013-02-11 DOI: 10.2139/ssrn.2138957

Roland Umlauft

引用次数: 0

New Evidence on the Timing, Investment and Liquidity Motivations for Public Equity Offers 公开募股时机、投资和流动性动机的新证据

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2013-02-07 DOI: 10.2139/ssrn.2028693

David T. L. Siu, R. Faff

引用次数: 1

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good For 股票指数跳跃扩散模型的样本外表现:金融危机的好处

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2013-02-04 DOI: 10.2139/ssrn.2022909

R. Frey, Paulo Rodrigues, Norman J. Seeger

{"title":"Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good For","authors":"R. Frey, Paulo Rodrigues, Norman J. Seeger","doi":"10.2139/ssrn.2022909","DOIUrl":"https://doi.org/10.2139/ssrn.2022909","url":null,"abstract":"Out-of-sample performance of continuous time models for equity returns is crucial in practical applications such as computing risk measures like value at risk, determine optimal portfolios or pricing derivatives. For all these applications investors need to model the return distribution of an underlying at some point in time in the future given current information. In this paper we analyze the out-of-sample performance of exponentially affine and non-affine continuous time stochastic volatility models with jumps in returns and volatility. Our analysis evaluates the density forecasts implied by the models. In a first step, we find in general that the good in-sample fits reported in the related literature do not carry over to the out-of-sample performance. In particular the left tail of the distribution poses a considerable challenge to the proposed models. In a second step, we analyze the models by using a rolling window approach. We find that using estimation periods that include high market stress events improve forecasting power considerably. In a third step, we apply parameters estimated on the sub period including the financial crisis (period with highest market stress) to all other forecasting sub periods. This approach further increases overall forecasting power and results in an outperformance of affine compared to non-affine models and an outperformance of jump models.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124199241","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

Estimating and Evaluating Value-at-Risk forecasts based on Realized Variance: Empirical Evidence from ICE Brent Crude Oil Futures 基于已实现方差的风险价值预测估计与评估:来自ICE布伦特原油期货的实证证据

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2013-01-24 DOI: 10.2139/ssrn.2138734

Erik Haugom, Steinar Veka, Gudbrand Lien, Sjur Westgaard

引用次数: 0

Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH GARCH下股票时间累计收益的多元分布逼近

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2013-01-15 DOI: 10.2139/ssrn.2068994

Jean-Guy Simonato

引用次数: 2

The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes 移动平均线的市场时机力量:来自美国房地产投资信托基金和房地产投资信托基金指数的证据

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-11-14 DOI: 10.2139/ssrn.2055017

Paskalis Glabadanidis

{"title":"The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes","authors":"Paskalis Glabadanidis","doi":"10.2139/ssrn.2055017","DOIUrl":"https://doi.org/10.2139/ssrn.2055017","url":null,"abstract":"I present evidence that a moving average (MA) trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT indexes over the period January 1980 until December 2010. The abnormal returns are largely insensitive to the four Carhart factors and produce economically and statistically significant alphas of between 10 and 15% per year after transaction costs. This performance is robust to different lags of the MA and in subperiods while investor sentiment, liquidity risks, business cycles, up and down markets, and the default spread cannot fully account for its performance. The MA strategy works just as well with randomly generated returns and bootstrapped returns. The substantial market timing ability of the MA strategy appears to be the main driver of the abnormal returns. The returns to the MA strategy resemble the returns of an imperfect at-the-money protective put strategy relative to the underlying portfolio. The lagged signal to switch has substantial predictive power over the subsequent return of the REIT index. The MA strategy avoids the sharp downturn at the beginning of 2008 and substantially outperforms the cumulative returns of the buy-and-hold strategy using all of the 20 REIT indexes. The results from applying the MA strategy with 274 individual REITs largely corroborate the findings for the REIT indexes.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129198541","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

Solution of Stochastic Volatility Models Using Variance Transition Probabilities and Path Integrals 用方差转移概率和路径积分求解随机波动模型

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-11-13 DOI: 10.2139/ssrn.2149231

A. Amin

引用次数: 0

Does Divergence of Opinion Affect Stock Returns? Evidence from Japanese SEOs 意见分歧会影响股票收益吗?来自日本seo的证据

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-11-10 DOI: 10.2139/ssrn.2023490

H. Kato, Katsushi Suzuki

引用次数: 5

Does Differential Sensitivity to Aggregate Earnings Shocks Drive Post-Earnings-Announcement Drift? 对总收益冲击的不同敏感性是否推动了收益公告后的漂移?

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-10-17 DOI: 10.2139/ssrn.2163237

Suresh Nallareddy

引用次数: 3