Refine
Year of publication
Document Type
- Working Paper (27)
- Part of Periodical (4)
- Article (1)
- Conference Proceeding (1)
- Contribution to a Periodical (1)
- Report (1)
Has Fulltext
- yes (35)
Is part of the Bibliography
- no (35)
Keywords
- Deutschland (6)
- Optionspreistheorie (6)
- General Equilibrium (4)
- Going Public (4)
- Schätzung (4)
- Volatilität (4)
- Börsenzulassung (3)
- Call-Option (3)
- Exotic options (3)
- Flotation Costs (3)
- Hedging (3)
- Neuer Markt (3)
- Neuer Markt <Börse> (3)
- New Economy (3)
- Optionsgeschäft (3)
- Optionshandel (3)
- Optionsmarkt (3)
- Over-Allotment Option (3)
- Put-Option (3)
- Underwriter Fee (3)
- Wertpapieremission (3)
- Asset pricing (2)
- Discretization Error (2)
- Macro Finance (2)
- Model Error (2)
- Stochastic Volatility (2)
- Stochastischer Prozess (2)
- Volatility Risk Premium (2)
- asset pricing (2)
- financial markets (2)
- short-sales (2)
- stochastic volatility (2)
- stock market (2)
- Analysis (1)
- Asset Allocation (1)
- Asset Pricing (1)
- Collateral Constraint (1)
- Commodities (1)
- Contagion Risk (1)
- Cross-Section of Returns (1)
- Cross-listing (1)
- Cross-section of expected returns (1)
- Derivat, Wertpapier (1)
- Different Beliefs (1)
- Dynamic Networks (1)
- Emissionskurs (1)
- Epstein-Zin preferences (1)
- Filtering (1)
- Financial Frictions (1)
- Financial Markets (1)
- Finanzderivat / Hedging / Strategie / Volatilität / Stochastischer Prozess / Theorie (1)
- Heterogeneous Preferences (1)
- Impact of Changing Stock-Market Regulation and Institution (1)
- Incomplete markets (1)
- Index-Futures (1)
- Initial Public Offerings (1)
- Institutional Setting on Underpricing (1)
- International stock markets (1)
- Investmentfonds (1)
- Investmentsparen (1)
- Kapitalertrag (1)
- Kapitalgewinn (1)
- Learning (1)
- Limited Partnership (1)
- Long Term Investment (1)
- Long-Run Underperformance (1)
- Long-run risk (1)
- Market (in)completeness (1)
- Mutually Exciting Processes (1)
- Mängelhaftung (1)
- Optionspreistheorie / Hedging / Stochastischer Prozess / Theorie (1)
- Over-Confidence (1)
- Partial Information (1)
- Pension Finance (1)
- Preference for early resolution of uncertainty (1)
- Price discovery (1)
- Private Altersversorgung (1)
- Prize Stabilization (1)
- Recursive Preferences (1)
- Recursive Utility (1)
- Regulation (1)
- Rentenreform (1)
- Risiko (1)
- Risikoprämie (1)
- Shortfall Risk (1)
- Statistischer Test (1)
- Stochastic jumps (1)
- Theorie (1)
- Underpricing (1)
- Unterbewertung (1)
- Volatilität / Risikoprämie / Statistischer Test / Optionspreistheorie / Stochastischer Prozess / Theorie (1)
- adaptation (1)
- anomalies (1)
- asset prices (1)
- connected industries (1)
- consumption (1)
- cross-section of expected stock returns (1)
- cross-section of stock return (1)
- cross-section of stock returns (1)
- disaster risk (1)
- discrete trading (1)
- factor timing (1)
- filtering (1)
- floating net asset value (FNAV) (1)
- hedging error (1)
- hedging errors (1)
- heterogeneous beliefs (1)
- implied volatility (1)
- inflation (1)
- information flow (1)
- isk premiums (1)
- jump risk (1)
- jumps in aggregate consumption (1)
- jumps in the longrun growth rate (1)
- level and slope of implied volatility smile (1)
- liquidity runs (1)
- long-run growth (1)
- market prices of risk (1)
- model mis-specification (1)
- money market funds (1)
- numerical optimization (1)
- option pricing (1)
- predictability (1)
- recursive preferences (1)
- recursive utility (1)
- return predictability (1)
- sset pricing (1)
- stochastic interest rates (1)
- stochastic jumps (1)
- stochastic volability (1)
- superhedging (1)
- temperature shocks (1)
- time series momentum (1)
- utility functions (1)
- volatility of volatility (1)
- welfare costs (1)
Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios formed on the broad market, size, value, momentum, investment, prof- itability, and volatility. The value-added induced by factor management via short-term momentum is a robust empirical phenomenon that survives transaction costs and carries over to multi-factor portfolios. The novel strategy established in this work compares favorably to well-known timing strategies that employ e.g. factor volatility or factor valuation. For the majority of factors, our strategies appear successful especially in recessions and times of crisis.
We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine in the conditional variance but driven by a separate process. We show that this separation of jump risk from volatility risk is needed to match the empirically weak link between the level and the slope of the implied volatility smile for S&P 500 options.
When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on option hedging errors. We derive a closed-form solution for the option hedging error and its expectation in a stochastic jump model under continuous trading and correct model specification. Jump risk is structurally different from, e.g., stochastic volatility: there is one market price of risk for each jump size (and not just \emph{the} market price of jump risk). Thus, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to the ideal case, the sign of the expected hedging error can change, so that empirical tests based on simplifying assumptions about trading frequency and the model may lead to incorrect conclusions.
We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.
It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)). We show that robust predictability also arises from horizontal links between industries, i.e., from the fact that industries are competitors or offer products, which are substitutes for each other. These horizontally linked industries exhibit positively correlated fundamentals. The signal derived from this type of connectedness is the basis for significant alpha in sorted portfolio strategies, and informed investors take the related information into account when they form their portfolios. We thus provide evidence of return predictability based on a new type of economic links between industries not captured in previous studies.
This paper provides empirical evidence on initial public offerings (IPOs) by investigating the pricing and long-run performance of IPOs using a unique data set collected on the German capital market before World War I. Our findings indicate that underpricing of IPOs has existed, but has significantly decreased over time in our sample. Employing a mixture of distributions approach we also find evidence of price stabilization of IPOs. Concerning long-run performance, investors who bought their shares in the early after-market and held them for more than three years experienced significantly lower returns than the respective industry as a whole. Earlier versions of this paper were presented at the ABN-AMRO Conference on IPOs in Amsterdam, the Annual Meetings of the European Finance Association, the Annual Meetings of the Verein für Socialpolitik, the IX Tor Vergata International Conference on Banking and Finance in Rome, and at Johann Wolfgang Goethe-University in Frankfurt.
When estimating misspecified linear factor models for the cross-section of expected returns using GMM, the explanatory power of these models can be spuriously high when the estimated factor means are allowed to deviate substantially from the sample averages. In fact, by shifting the weights on the moment conditions, any level of cross-sectional fit can be attained. The mathematically correct global minimum of the GMM objective function can be obtained at a parameter vector that is far from the true parameters of the data-generating process. This property is not restricted to small samples, but rather holds in population. It is a feature of the GMM estimation design and applies to both strong and weak factors, as well as to all types of test assets.
In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics replicate the observed time variation in stock return volatilities and stock- bond return correlations. They also provide an alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation.