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Displaying results 1 to 5 of 5.

  1. Option-Implied Asymmetry and Market Returns
    Author: O'Sullivan, Conall; Wang, Yan
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of quantile estimates relative to existing approaches. We use the method to estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk-neutral skewness measures, we find that RNA is significantly negatively linked to future market excess returns at horizons ranging from one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market returns

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Michael J. Brennan Irish Finance Working Paper Series Research Paper ; No. 22-12
    Subjects: Model-free quantiles; asymmetry; skewness; forecasting; equity risk premium
    Scope: 1 Online-Ressource (84 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2022 erstellt
  2. Measuring the equity risk premium with dividend discount models
    Author: Gálvez, Julio
    Published: 2022
    Publisher:  Banco de España, Madrid

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 513
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos ocasionales / Banco de España ; no. 2207
    Subjects: expected returns; equity risk premium; dividend discount model; returnpredictability
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Equity prices and fundamentals
    a DDM-APT mixed approach
    Author: Jawadi, Fredj; Prat, Georges
    Published: 2015
    Publisher:  Univ. de Paris Ouest Nanterre La Défense, Nanterre

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 334 (2015,16)
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / EconomiX ; 2015-16
    Subjects: stock valuation; equity risk premium; stock price adjustment
    Scope: Online-Ressource (32 S.), graph. Darst.
  4. Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility
    Author: Sushko, Stepan S.
    Published: 2021

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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  5. Dynamical internal cost of capital driven by cash flow growth
    Author: Solo, David; Sornette, Didier; Ulmann, Florian
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 544
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    Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure matching the implicitly assumed risk exposure at each future point in time in the valuation model, i.e. the assumed cash flow growth rate process. This reduces the range of reasonable valuations outcomes to useful levels, given that the linearly proportional term structures of potential cash flow growth rates and equity risk premia are complementary, offsetting variables in a discounted cash flow pricing model. In the same manner we elaborate a time-varying internal cost of capital (ICC) model that reflects the implied risk exposure at each future point in time and thus has a clear interpretation as an expected return process. This time-varying ICC model is superior to the constant ICC model in a Fama-MacBeth regression setting to predict future realised returns. And using the expected return of the time varying ICC model as control in a Fama-MacBeth regression of the profitability, the investment and the value factor, both the profitability and the value factor become insignificant in explaining future realised returns. The superiority and economic significance of the time-varying ICC model is further con firmed in a trading strategy with yearly rebalancing

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 21, 24
    Subjects: Internal Cost of Capital; consumption based asset pricing model; cash ow growth; equity risk premium; implied risk; Fama-MacBeth regression; time-varying risk premium; trading strategy
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen