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The no-arbitrage pricing of non-traded assets 非交易资产的无套利定价
IF 1
Annals of Finance Pub Date : 2023-08-01 DOI: 10.1007/s10436-023-00434-1
Robert A. Jarrow
{"title":"The no-arbitrage pricing of non-traded assets","authors":"Robert A. Jarrow","doi":"10.1007/s10436-023-00434-1","DOIUrl":"10.1007/s10436-023-00434-1","url":null,"abstract":"<div><p>This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise frictionless market setting. The approach requires the assumption that the hedging error, properly defined, is non-priced or idiosyncratic risk. This methodology can be applied to private loans, illiquid publicly traded debt, insurance contacts, private equity, real estate, and real options.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 3","pages":"401 - 418"},"PeriodicalIF":1.0,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00434-1.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44061525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
What can monetary policy tell us about Bitcoin? 关于比特币，货币政策能告诉我们什么？
IF 1
Annals of Finance Pub Date : 2023-07-26 DOI: 10.1007/s10436-023-00432-3
Marcin Pietrzak
{"title":"What can monetary policy tell us about Bitcoin?","authors":"Marcin Pietrzak","doi":"10.1007/s10436-023-00432-3","DOIUrl":"10.1007/s10436-023-00432-3","url":null,"abstract":"<div><p>Bitcoin enthusiasts argue that it is free from central banks decisions and it is a hedge against inflation. Using high-frequency monetary surprises associated with decisions made by the Fed and the ECB, I show that these claims are not supported by the data. Bitcoin systemically reacts to monetary and central bank information shocks. I find that these reactions vary over time: not only by changing the magnitude but sometimes sign of reaction. Fed’s disinflationary shocks increase Bitcoin price, while the ECB’s decrease, hence providing little support for it as an inflation hedge.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 4","pages":"545 - 559"},"PeriodicalIF":1.0,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00432-3.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48042475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The value of expected return persistence 持久性的预期回报值
IF 1
Annals of Finance Pub Date : 2023-07-01 DOI: 10.1007/s10436-023-00428-z
Wolfgang Schadner, Sebastian Lang
{"title":"The value of expected return persistence","authors":"Wolfgang Schadner,&nbsp;Sebastian Lang","doi":"10.1007/s10436-023-00428-z","DOIUrl":"10.1007/s10436-023-00428-z","url":null,"abstract":"<div><p>This work utilizes the fractional Black–Scholes model to estimate the option-implied Hurst exponents, interpreted as forward-looking expectations of return persistence. The focus of the paper is on how corresponding believes enter into factor based asset pricing models. Empirical analyses are carried out for the cross-section of S &amp;P 500 stocks. We make the important observations that (i) stock returns show significant patterns of time-varying persistence and (ii) corresponding believes are reflected within option prices. Incorporating the Hurst exponents allows us to split up CAPM betas into pure market correlation risk (around 70–80%) and into excess persistence believes (about 20–30% of the risk loading). A direct comparison to standard CAPM shows that incorporating persistence believes significantly improves the predictability of future realized returns, and partially releases the beta anomaly. The effects become even stronger the greater the prediction horizon. Hence, the concept of fractal motions enables a deeper understanding of risk structures without the need of additional risk factors.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 4","pages":"449 - 476"},"PeriodicalIF":1.0,"publicationDate":"2023-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42064121","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
Sentiment-based indicators of real estate market stress and systemic risk: international evidence 基于情绪的房地产市场压力和系统性风险指标:国际证据
IF 1
Annals of Finance Pub Date : 2023-06-16 DOI: 10.1007/s10436-023-00429-y
Mikhail Stolbov, Maria Shchepeleva
{"title":"Sentiment-based indicators of real estate market stress and systemic risk: international evidence","authors":"Mikhail Stolbov,&nbsp;Maria Shchepeleva","doi":"10.1007/s10436-023-00429-y","DOIUrl":"10.1007/s10436-023-00429-y","url":null,"abstract":"<div><p>We propose sentiment-based indicators of real estate market stress for the USA, the UK, Canada, Australia, India, and on the global scale. The global and country-level indicators are based on a novel methodology synthesizing textual analysis of real estate research and Google search data. Using mixed frequency vector autoregressions, we show that in the USA, the UK, Australia and India, the sentiment-based indicators are found to mediate the relationship between real estate prices and systemic financial risk. In particular, for the UK, there is a vicious circle involving the interaction among the three variables: the sentiment-based indicator of real estate market stress unidirectionally leads systemic risk, the latter impacts real estate prices, whereas the prices drive the stress sentiment. Canada appears the only sample country where real estate market stress sentiment is unrelated to real estate prices and systemic risk. On the global scale, there is a bi-directional linkage between the stress sentiment and real estate prices. Overall, our empirical findings suggest that policymakers and real estate market participants should account for sentiment regarding real estate market stress in their decision-making.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 3","pages":"355 - 382"},"PeriodicalIF":1.0,"publicationDate":"2023-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43625223","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
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies 从离散时间策略到连续时间策略的无套利条件与定价
IF 1
Annals of Finance Pub Date : 2023-04-24 DOI: 10.1007/s10436-023-00426-1
Dorsaf Cherif, Emmanuel Lépinette
{"title":"No-arbitrage conditions and pricing from discrete-time to continuous-time strategies","authors":"Dorsaf Cherif,&nbsp;Emmanuel Lépinette","doi":"10.1007/s10436-023-00426-1","DOIUrl":"10.1007/s10436-023-00426-1","url":null,"abstract":"<div><p>In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the usual no-arbitrage conditions of the literature, e.g. the usual no-arbitrage conditions NFL, NFLVR and NUPBR and the recent AIP condition. With appropriate pseudo-distance topologies, we show that they hold in continuous time if and only if they hold in discrete time. Moreover, the super-hedging prices in continuous time coincide with the discrete-time super-hedging prices, even without any no-arbitrage condition.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 2","pages":"141 - 168"},"PeriodicalIF":1.0,"publicationDate":"2023-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00426-1.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47256975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A compositional analysis of systemic risk in European financial institutions 欧洲金融机构系统性风险的组成分析
IF 1
Annals of Finance Pub Date : 2023-04-18 DOI: 10.1007/s10436-023-00427-0
Anna Maria Fiori, Francesco Porro
{"title":"A compositional analysis of systemic risk in European financial institutions","authors":"Anna Maria Fiori,&nbsp;Francesco Porro","doi":"10.1007/s10436-023-00427-0","DOIUrl":"10.1007/s10436-023-00427-0","url":null,"abstract":"<div><p>Systemic risk is a complex and multifaceted phenomenon that needs to be addressed from different perspectives. In this work we propose a Compositional Data (CoDa) approach to analyze the distribution of relative contributions to systemic risk associated with major European countries during the period 2008–2021. We represent systemic risk measures corresponding to those countries as percentage shares, or parts, of a compositional dataset and we perform a multivariate statistical analysis using specific CoDa procedures. The proposed approach sheds new light on some variability patterns and cross-country relationships that appear to be linked to the composition of systemic risk parts in the system.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 3","pages":"325 - 354"},"PeriodicalIF":1.0,"publicationDate":"2023-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00427-0.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44621700","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Co-jumps and recursive preferences in portfolio choices 投资组合选择中的共同跳跃和递归偏好
IF 1
Annals of Finance Pub Date : 2023-02-16 DOI: 10.1007/s10436-023-00425-2
Immacolata Oliva, Ilaria Stefani
{"title":"Co-jumps and recursive preferences in portfolio choices","authors":"Immacolata Oliva,&nbsp;Ilaria Stefani","doi":"10.1007/s10436-023-00425-2","DOIUrl":"10.1007/s10436-023-00425-2","url":null,"abstract":"<div><p>This paper investigates a multivariate, dynamic, continuous-time optimal consumption and portfolio allocation problem when the investor faces recursive utilities. The economy we are considering is described through both diffusion and discontinuities in the dynamics. We derive an approximated closed-form solution to optimal rules by exploiting standard dynamic programming techniques. Our findings are manifold. First, we obtain dynamic optimal weights, inversely proportional to volatility. Second, we show that both co-jumps frequency and intensity play a crucial role, as they considerably limit potential losses in the investors’ wealth. Third, we prove that jumps in precision reinforce the effect of jumps in price, further reducing optimal allocation. Finally, we highlight how co-jumps may influence investors’ choices regarding intertemporal consumption.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 3","pages":"291 - 324"},"PeriodicalIF":1.0,"publicationDate":"2023-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00425-2.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42192706","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The valuation of corporations: a derivative pricing perspective 公司估值:衍生品定价视角
IF 1
Annals of Finance Pub Date : 2023-02-05 DOI: 10.1007/s10436-023-00424-3
Dilip B. Madan, King Wang
{"title":"The valuation of corporations: a derivative pricing perspective","authors":"Dilip B. Madan,&nbsp;King Wang","doi":"10.1007/s10436-023-00424-3","DOIUrl":"10.1007/s10436-023-00424-3","url":null,"abstract":"<div><p>Corporations are modeled as owning a perpetual derivative security that has a claim on future cash flows. The cash flows are defined by deterministic functions of state variables. In a time homogeneous and Markovian context the value of a corporation is then given by a deterministic function of the state variables termed the corporate valuation function. This valuation function solves an integro differential equation with a boundary condition of zero at infinity. Solutions are illustrated in dimensions one, two and ten. It is observed that for positive and bounded cash flow functions the valuation functions cannot be linear. The attitude of a corporation to risk then depends on the nonlinearity. In higher dimensions the corporation will be a risk taker in some directions and simultaneously a risk avoider in others. The valuation theory also leads to new asset pricing equations inferring asset variations from risk neutral covariations. The shift from mean returns and covariances is necessitated by the focus on instantaneous risk exposures represented by measures replacing probabilities.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 1","pages":"1 - 21"},"PeriodicalIF":1.0,"publicationDate":"2023-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48200465","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 optimal financing of a conglomerate firm with hidden information and costly state verification 具有隐藏信息和昂贵的国家验证的企业集团的最优融资
IF 1
Annals of Finance Pub Date : 2023-02-05 DOI: 10.1007/s10436-022-00418-7
Rosa Ferrentino, Luca Vota
{"title":"The optimal financing of a conglomerate firm with hidden information and costly state verification","authors":"Rosa Ferrentino,&nbsp;Luca Vota","doi":"10.1007/s10436-022-00418-7","DOIUrl":"10.1007/s10436-022-00418-7","url":null,"abstract":"<div><p>This manuscript addresses the issue, particularly interesting for a conglomerate firm, of the choice of the optimal financing method (namely, the most efficient one) between the joint one and the separate one. In particular, the authors identify the properties of the optimal financing contract for three investment projects under the assumptions of the literature on Costly State Verification (CSV), namely, uncorrelated returns, hidden information (the return of a single project is a borrower’s private information), lender performing sequential audit and residual claimant borrower. The authors’ research method consists of solving the optimization problem of the borrower’s expected utility subject to appropriate incentive constraints and the lender’s participation constraint. The novelty of this contribution is the demonstration that joint financing with return pooling between the high and low states is more efficient than separate financing, as it implies a lower expected audit cost for the lender and, if the investment cost is not too high, also less credit rationing for the borrower. Joint financing with return pooling between the intermediate and low states, instead, is found to be less efficient than separate financing in terms of expected audit cost and, in the presence of sufficiently high investment cost, also credit rationing.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 1","pages":"23 - 62"},"PeriodicalIF":1.0,"publicationDate":"2023-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00418-7.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47329596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits 保证终身退出的公平费用与马尔可夫健康效益分析
IF 1
Annals of Finance Pub Date : 2023-01-17 DOI: 10.1007/s10436-022-00422-x
Guglielmo D’Amico, Shakti Singh, Dharmaraja Selvamuthu
{"title":"Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits","authors":"Guglielmo D’Amico,&nbsp;Shakti Singh,&nbsp;Dharmaraja Selvamuthu","doi":"10.1007/s10436-022-00422-x","DOIUrl":"10.1007/s10436-022-00422-x","url":null,"abstract":"<div><p>This study proposed and evaluated a new insurance product, i.e., the variable annuity product, accompanied by the health status and the guaranteed lifelong withdrawal benefit (GLWB). Due to specific problems, the insurance sector is now one of the riskiest industries. The aging of the population and rising medical service costs as a result of technological advancements are to blame for this. Thus one of the most basic needs in the health insurance sector is to design an innovative product. In this article, a mixed discrete-continuous time model is proposed to calculate the fair fee of the product, calculated using equilibrium condition between premium and benefits. We considered constant volatility and rate of interest along with health status benefits and hospitalization coverage. For an illustration of the capability of this product and some possible improvements in the product, a numerical study, and sensitivity analysis have been conducted. The results showed that the withdrawal amount and age have a significant impact on the cost. A rise in the initial insured age and withdrawal amount increases the fair fee of the product. The GLWB rider’s guaranteed amount and medical expenses are included in the withdrawal amount.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 3","pages":"383 - 400"},"PeriodicalIF":1.0,"publicationDate":"2023-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00422-x.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44474124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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