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  1. Momentum and crash sensitivity
    Author: Ruenzi, Stefan; Weigert, Florian
    Published: December 2017
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1.84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 international equity markets

     
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    Language: English
    Media type: Book
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    Edition: This version: December 2017
    Series: Working papers on finance ; no. 2018, 1
    Subjects: Asset pricing; asymmetric dependence; copulas; crash sensitivity; momentum; tail risk
    Scope: 1 Online-Ressource (circa 13 Seiten)
  2. The risk of becoming risk averse
    a model of asset pricing and trade volumes
    Author: Alvarez, Fernando; Atkeson, Andy
    Published: December 2018
    Publisher:  Federal Reserve Bank of Minneapolis, Minneapolis, MN

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    Series: Staff report / Research Division, Federal Reserve Bank of Minneapolis ; 577 (December 2018)
    Subjects: Liquidity; Trade volume; Asset pricing; Tobin taxes
    Scope: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  3. US risk premia under emerging markets constraints
    Author: Cavalcante-Filho, Elias; Chague, Fernando; De-Losso, Rodrigo; Giovannetti, Bruno
    Published: 2019
    Publisher:  FEA/USP, [São Paulo]

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Department of Economics-FEA/USP ; no 2019, 28
    Subjects: Equity Risk premia; Asset pricing; Multi-factor model
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  4. Multivariate crash risk
    Author: Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
    Published: February 2019
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its... more

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    This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower tail dependence with the systematic factors of the Carhart (1997) model. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which is not explained by traditional linear factor models or by other downside risk measures. Our results indicate that accounting for the multivariate crash risk of established state variables helps to understand the cross-section of expected stock returns without further expanding the factor zoo

     
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    Edition: This version: February 2019
    Series: Working papers on finance ; no. 2019, 01
    Subjects: Asset pricing; Non-linear dependence; Crash aversion; Downside risk; Tail risk; Lower tail dependence; Copulas
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  5. The impact of green investors on stock prices
    Author: Cheng, Gong; Jondeau, Eric; Mojon, Benoît; Vayanos, Dimitri
    Published: 09 March 2024
    Publisher:  Centre for Economic Policy Research, London

    We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a... more

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    We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active investors hold a mean-variance efficient portfolio of all stocks. Contrary to the literature, we find large drops in the stock prices of the brownest firms and moderate increases for greener firms. These effects occur primarily upon the announcement of the green index's formation and continue during the exclusion phase. The announcement effects imply a first-mover advantage to early adopters of decarbonisation strategies.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18906
    Subjects: Asset pricing; green investing; passive investing; portfolio rebalancing
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  6. Equity return predictability, time varying volatility and learning about the permanence of shocks
    Author: Tortorice, Daniel L.
    Published: 2014
    Publisher:  Brandeis Univ., Dep. of Economics, Waltham, Mass.

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    Series: Working paper series / Brandeis University, Department of Economics ; 70
    Subjects: Consumption; Savings; Asset pricing; Learning; Expectations
    Scope: Online-Ressource (36, [5] S.), graph. Darst.
  7. Systematic tail risk
    Author: Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist
    Published: December 2016
    Publisher:  Bank of England, [London]

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    Media type: Book
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    Series: Staff working paper / Bank of England ; no. 637
    Subjects: Asset pricing; downside risk; tail risk; co-moments; value at risk; systematic risk
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  8. "Valuation of natural capital under uncertain substitutability"
    Author: Gollier, Christian
    Published: May 2017
    Publisher:  IDEI, Institut d'économie industrielle, [Toulouse]

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    Series: Working papers / IDEI, Institut d'économie industrielle ; no IDEI-871
    Subjects: Asset pricing; CCAPM beta; discounting; bioeconomics
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  9. On empirical challenges in forecasting market betas in crypto markets
    Author: Šíla, Jan; Mark, Michael; Krištoufek, Ladislav
    Published: [2022]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta... more

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    This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a fundamental financial problem and we document pervasive empirical issues that arise in the emerging market of crypto assets. Although recent empirical results about US stocks suggest predictability of the future realized betas about 55%, predictability for the universe of crypto assets is at most 20%. Our results suggest that the crypto market betas are highly sensitive not only to the beta estimation method but also to the selection of the market index. Thus we also contribute to the discussion on the appropriate market representation.

     
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    hdl: 10419/272791
    Series: IES working paper ; 2022, 19
    Subjects: Asset pricing; CAPM; Market Beta; Cryptocurrency
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  10. Financial intermediaries and the macroeconomy
    evidence from a high-frequency identification
    Author: Ottonello, Pablo; Song, Wenting
    Published: [2022]
    Publisher:  Bank of Canada, [Ottawa]

    We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a... more

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    We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings announcements, based on US tick-by-tick data. Using these shocks, we estimate that news of a 1% decline in intermediaries' net worth leads to a 0.2% to 0.4% decrease in the market value of nonfinancial firms. These effects are more pronounced for firms with high default risk and low liquidity and when the aggregate net worth of intermediaries is low.

     
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    Media type: Book
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    hdl: 10419/265218
    Edition: Last updated: May 20, 2022
    Series: Staff working paper / Bank of Canada ; 2022, 24
    Subjects: Asset pricing; Business fluctuations and cycles; Credit and credit aggregates; Financial institutions; Financial markets; Financial system regulation and policies; Monetary and financial indicators
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  11. Essays on Asset Pricing, Portfolio Choice, and International Finance
    Author: Sauzet, Maxime
    Published: 2021

    This dissertation investigates a number of topics in international finance and macroeconomics, with a particular emphasis on using and adapting tools from asset pricing to this context. Chapter 1, co-authored with Pierre-Olivier Gourinchas and Helene... more

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    This dissertation investigates a number of topics in international finance and macroeconomics, with a particular emphasis on using and adapting tools from asset pricing to this context. Chapter 1, co-authored with Pierre-Olivier Gourinchas and Helene Rey, starts by providing an overview of the structure of the international monetary and financial system. Chapter 2 zooms in on a specific and long-standing open issue that has received a lot of attention in the international finance literature: the international portfolio choice problem, which is concerned with how investors allocate their portfolio internationally. Despite this attention, the literature has only provided limited answers to this problem in terms of resolution methods and the generality of preferences, an issue that I aim to alleviate in this Chapter. Because of its generality, the framework of Chapter 2 lends itself to several applications and extensions. Chapter 3 focuses on one main application, in which I show that the model can reproduce a number of stylized facts about the structure and dynamics of the international financial system, and in particular the role of the United States, and of asset returns in this context. Finally, Chapter 4, co-authored with Pierre-Olivier Gourinchas and Helene Rey, focuses on the secular decline in global real interest rates, another key theme in international finance and macroeconomics. We suggest that the world real rate of interest is likely to remain low or negative for an extended period of time, and discuss a number of possible explanations, an important one being the process of deleveraging of the balance sheets of investors.

     
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    ISBN: 9798535557670
    Series: Dissertations Abstracts International
    Subjects: Finance; Asset pricing; International finance and macroeconomics; International financial system; Portfolio choice; Wealth allocation
    Scope: 1 Online-Ressource (282 p.)
    Notes:

    Source: Dissertations Abstracts International, Volume: 83-03, Section: A. - Advisor: Gourinchas, Pierre-Olivier

    Dissertation (Ph.D.), University of California, Berkeley, 2021
  12. Real exchange rate decompositions
    Author: Feunou, Bruno; Fontaine, Jean-Sébastien; Krohn, Ingomar
    Published: [2022]
    Publisher:  Bank of Canada, Ottawa, Ontario, Canada

    We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate;... more

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    We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected inflation, yields and bond term premia; and an FX risk premium. Through a variance decomposition exercise, we find that the FX risk premium is the dominant component. Monetary policies and macroeconomic news announcements largely move the real exchange through changes in the FX risk premium.

     
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    hdl: 10419/266067
    Series: Staff discussion paper / Bank of Canada ; 2022, 6
    Subjects: Asset pricing; Exchange rates; International financial markets; Monetary policy transmission
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  13. Investor sentiment in asset pricing models
    a review
    Author: Lis, Szymon
    Published: 2022
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2022, 14 = 390
    Subjects: Investor sentiment; Asset pricing; Multifactor models; Behavioral finance; Risk factors; stock market behavior
    Scope: 1 Online-Ressource (circa 57 Seiten)
  14. Expectation-driven term structure of equity and bond yields
    Author: Zeng, Ming; Zhao, Guihai
    Published: [2022]
    Publisher:  Bank of Canada, [Ottawa]

    Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics... more

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    Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by subjective expectations of dividend and gross domestic product (GDP) growth. Yields on short-term dividend claims are more volatile because the expected short-term dividend growth meanreverts to its less volatile long-run counterpart. The procyclical slope of equity yields is due to the countercyclical slope of dividend growth expectations. The correlation between equity returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a stronger correlation between expectations of real GDP growth and real dividend growth and only partially to procyclical inflation. Dividend strip returns are predictable, and the predictive power decreases with maturity as a result of predictable forecast errors and revisions. The model is also consistent with the data in generating persistent and volatile price-dividend ratios and excess return volatility.

     
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    Media type: Book
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    hdl: 10419/265215
    Edition: Last updated: May 11, 2022
    Series: Staff working paper / Bank of Canada ; 2022, 21
    Subjects: Asset pricing; Financial markets; Interest rates
    Scope: 1 Online-Ressource (circa 59 Seiten)
  15. Multivariate crash risk
    Author: Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
    Published: 2021
    Publisher:  Centre for Financial Research, Cologne

    This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive... more

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    This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to determine the cross-section of expected stock returns without further expanding the factor zoo.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/235631
    Edition: This version: May 21, 2021
    Series: CFR working paper ; no. 21, 07
    Subjects: Asset pricing; Non-linear dependence; Crash aversion; Downside risk; Tail risk; Lower tail dependence; Copulas
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  16. The financial origins of non-fundamental risk
    Author: Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R.
    Published: [2022]
    Publisher:  Bank of Canada, [Ottawa]

    We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may... more

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    We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes the economy to self-fulfilling fire sales. Policy can eliminate non-fundamental risk by (i) increasing the supply of publicly backed safe assets, through issuing government debt or bailing out intermediaries, or (ii) reducing the demand for safe assets, through social insurance or by acting as a market maker of last resort.

     
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    Media type: Book
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    hdl: 10419/261257
    Edition: Last updated: January 14, 2022
    Series: Staff working paper / Bank of Canada ; 2022, 4
    Subjects: Asset pricing; Financial markets; Financial stability
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  17. Essays on asset pricing and portfolio optimization
    Author: Koeppel, Christian
    Published: 2021

    WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a... more

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    WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the construction of a new risk factor and provides a comprehensive understanding of its role in sentiment-augmented asset pricing models for international equity indices. We empirically demonstrate the existence of a statistically significant and economically relevant sentiment premium. Differentiating between developed and emerging markets we reveal different patterns of return reversals / persistence. Our results contribute to the explanation of global cross-sectional average excess returns, demonstrating superiority in terms of predictive power when compared to competing definitions of sentiment. The second essay "Does social media sentiment matter in the pricing of U.S. stocks?" finds that the inclusion of micro-grounded, social media-based sentiment significantly improves the performance of the five-factor model from Fama and French (2015, 2017). This holds for different industry and style portfolios such as size, value, profitability, and investment. Applying a robust GMM estimator, the sentiment risk premium provides the missing component in the behavioral asset pricing theory of Shefrin and Belotti (2008) and (partially) resolves the pricing puzzles of small extreme growth, small extreme investment stocks and small stocks that invest heavily despite low profitability. The third essay "Diversifying estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum-variance strategies to minimize the expected out-of-sample variance. The proposed averaging rule overcomes the strategy selection problem and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore conclude that averaging over multiple strategies offers sizable diversification benefits.

     
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Dissertation no. 5120
    Subjects: Kapitalmarkttheorie; Diversifikation; Risikoprämie; Anlageverhalten; EDIS-5120; shrinkage; sentiment risk premium; diversification; Asset pricing; estimation error; portfolio optimization; Shrinkage; averaging; Verhaltensökonomie; Sentiment; investor sentiment; Portfoliooptimierung; behavioral finance; financial markets
    Scope: 1 Online-Ressource (circa 236 Seiten), Illustrationen
    Notes:

    Enthält 3 Beiträge

    Dissertation, University of St. Gallen, 2021
  18. Pricing indefinitely lived assets
    experimental evidence
    Author: Duffy, John; Jiang, Janet Hua; Xie, Huan
    Published: [2023]
    Publisher:  Bank of Canada, [Ottawa]

    We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon... more

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    We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can account for this low traded price. An Epstein and Zin (1989) recursive preference specification that models the dynamic realization of dividend payments and incorporates risk preferences can rationalize the low traded price observed in our indefinitely lived asset market.

     
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    Media type: Book
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    Other identifier:
    hdl: 10419/297410
    Edition: Last updated: April 24, 2023
    Series: Staff working paper / Bank of Canada ; 2023, 25
    Subjects: Asset pricing; Financial markets
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  19. Essays in institutional investors and financial markets
    Author: Cötelioglu, Efe
    Published: June 15, 2021

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    Media type: Dissertation
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    Subjects: Asset pricing; Financial stability; Institutional investors; Mutual funds; Hedge funds; Exchange-traded funds; Liquidity; Corporate bonds; Equities; Credit default swaps
    Scope: 1 Online-Ressource (circa 164 Seiten), Illustrationen
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    Dissertation, Università della Svizzera italiana, 2021
  20. Financial intermediation and fire sales with liquidity risk pricing
    Author: Cheng, Yuteng; Robatto, Roberto
    Published: [2024]
    Publisher:  Bank of Canada, [Ottawa]

    We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. The model predictions align with some stylized facts about the large sales of corporate bonds and... more

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    We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. The model predictions align with some stylized facts about the large sales of corporate bonds and Treasury securities during the COVID-19 economic crisis. The equilibrium is constrained efficient under weak conditions that apply if one interprets the key agents in the model as money market funds or mutual funds. Thus, as viewed through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these intermediaries could hurt the economy.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/299353
    Edition: Last updated: May 27, 2024
    Series: Staff working paper / Bank of Canada ; 2024, 18
    Subjects: Asset pricing; Financial markets; Financial system regulation and policies
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  21. Higher-order beliefs and risky asset holdings
    Author: Gorodnichenko, Yuriy; Yin, Xiao
    Published: 02 July 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Mannheim
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    Universität Potsdam, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19205
    Subjects: Expectations; Surveys; Higher-order beliefs; Asset pricing
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  22. Markets under siege
    how political beliefs move financial markets
    Author: Jha, Saumitra; Koudijs, Peter; Salgado, Marcos
    Published: 07 July 2024
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19220
    Subjects: War; Peace; Conflict; Sovereign debt; Political beliefs and behavior; Financial markets; Asset pricing
    Scope: 1 Online-Ressource (circa 91 Seiten), Illustrationen
  23. On the stability of equilibrium in the market with heterogeneous investment horizons
    Author: Nishiwaki, Takashi
    Published: [2021]
    Publisher:  Waseda INstitute of Political EConomy, Waseda University, Tokyo, Japan

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Array ; no. 21, 01 (April 2021)
    Subjects: Asset pricing; Heterogenous beliefs; Investment horizon
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  24. The impact of green investors on stock prices
    Author: Cheng, Gong; Jondeau, Eric; Mojon, Benoît; Vayanos, Dimitri
    Published: September 2023
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: BIS working papers ; no 1127
    Subjects: Asset pricing; green investing; passive investing; portfolio rebalancing
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  25. Taming momentum crashes
    Author: Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan
    Published: 29 April 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staats- und Universitätsbibliothek Bremen
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19030
    Subjects: Time-varying skewness; Momentum investing; Risk-return trade-off; Asset pricing
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen