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Author : Jens Jackwerth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book Asymmetric Volatility Risk written by Jens Jackwerth and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asymmetric Volatility Risk written by Jens Carsten Jackwerth and published by . This book was released on 2018 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX). While the bivariate risk-neutral distribution cannot be inferred from the marginals, we propose a novel identification based on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium and use asymmetric volatility implied correlation to predict returns, volatility, and risk-neutral quantities.
Author : Usman Bashir
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (969 download)
Download or read book Asymmetric Volatility, Risk and Return Tradeoff in Asian Pacific Stock Markets written by Usman Bashir and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 ( download)
Download or read book Asymmetric Volatility and Risk in Equity Markets written by Geert Bekaert and published by . This book was released on 1997 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical application uses the market portfolio and portfolios with different leverage constructed from Nikkei 225 stocks, extending the empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and the portfolio levels, its source differs across portfolios. We find that it is important to include leverage ratios in the volatility dynamics but that their economic effects are mostly dwarfed by the volatility feedback mechanism. Volatility feedback is enhanced by a phenomenon that we term covariance asymmetry: conditional covariances with the market increase only significantly following negative market news. We do not find significant asymmetries in conditional betas.
Author : David E. Allen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (891 download)
Download or read book Asymmetric Realized Volatility Risk written by David E. Allen and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jarkko Peltomaki
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Asymmetric Impact of Volatility Risk on Hedge Fund Returns written by Jarkko Peltomaki and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the asymmetric impact of volatility risk on returns of hedge fund strategies. I compare volatility risk exposures to price risk exposures by considering the causation between implied volatility and market returns. I also investigate whether the latest financial crises have caused structural changes in the risk exposures. My results indicate that the volatility risk is related to returns of most hedge fund strategies in a nonlinear way. Further, the use of volatility risk as a factor in hedge fund analysis suffers from asymmetry that is similar to the impact of price risk.
Author : Robert F. Engle
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness written by Robert F. Engle and published by . This book was released on 2009 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the sources of skewness in aggregate risk-factors and the cross-section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market returns resemble these predictions; however, size, book-to-market, and momentum factor returns show alternative behavior, leading us to conclude these factors are not priced risks. We link aggregate risk and skewness to individual stocks and find empirically that the risk aversion effect manifests in individual stock skewness. Additionally, we find several firm characteristics that explain stock skewness. Smaller firms, value firms, highly levered firms, and firms with poor credit ratings have more positive skewness.
Author : Robert A. Schwartz
Publisher : Springer Science & Business Media
ISBN 13 : 1441914749
Total Pages : 152 pages
Book Rating : 4.4/5 (419 download)
Download or read book Volatility written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2010-11-18 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Author : Wei Quan
Publisher :
ISBN 13 :
Total Pages : 125 pages
Book Rating : 4.:/5 (913 download)
Download or read book Volatility Information Trading and Its Implications for Information Asymmetry, Option Spreads, and Implied Volatility Skew written by Wei Quan and published by . This book was released on 2013 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information asymmetry is a critical element in today's financial markets. While asymmetric information related to directional information trading has been extensively studied in the existing literature, there is limited research and evidence on how volatility information trading impacts the options market. This dissertation studies, both theoretically and empirically, the behaviors of volatility information traders in options markets and the implications of their behaviors on information asymmetry and options pricing. I develop a model in which investors can trade multiple option contracts with varying strikes under an asymmetric framework. I show that volatility information trading is more likely to occur in Out of The Money (OTM) options if the overall presence of informed traders is low or if the relative liquidity in OTM options is better than At The Money (ATM) options. Moreover, I show that due to the variation in implicit leverage embedded in the option contracts, the OTM option contract contains a higher volatility information risk than the ATM option contract in equilibrium. In addition, I show that this volatility information risk differential plays a central role in forming the spread structure within an option series with the same underlying asset. Finally, I show that the shape of implied volatility skew (smile) is jointly determined by volatility uncertainty and heterogeneous information risk across the option contracts. I empirically examine the implications of my theory using US equity options data, including two intra-day trade and quote datasets from the Chicago Board Option Exchange (CBOE). I estimate the Volume-Synchronized Probability of Informed Trading (VPIN) variable to measure the volatility information risk in the option market. I show that OTM contracts, on average, have a higher probability of information trading than ATM contracts. I also document that volatility risk explains a considerable proportion of the spread variations in the US equity options market. Finally, I provide evidence that the difference in information asymmetry across strike prices not only helps to explain the dynamics of implied volatility skew but also has a significant impact on the degree to which a change in historical volatility affects the shape of the implied volatility skew.
Author : Ercan Balaban
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (247 download)
Download or read book Asymmetric Volatility Clustering, Risk-return Relationship and Day of the Week Effects written by Ercan Balaban and published by . This book was released on 1999 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sofiane Aboura
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Extreme Asymmetric Volatility written by Sofiane Aboura and published by . This book was released on 2015 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu (2000)). We study asymmetric volatility for daily Samp;P 500 index returns and VIX index changes, thereby examining the relation between extreme changes in risk-neutral volatility expectations, i.e. market stress, and aggregate asset prices. To this aim, we model market returns, implied VIX market volatility and volatility of volatility, showing that the latter is asymmetric in that past positive volatility shocks drive positive shocks to volatility of volatility. Our main result documents the existence of a significant extreme asymmetric volatility effect as we find contemporaneous volatility-return tail dependence for crashes but not for booms. We then outline aggregate market price implications of extreme asymmetric volatility, indicating that under volatility feedback a one-in-a-hundred trading day innovation to average VIX implied volatility, for example, relates to an expected market drop of more than 4 percent.
Author : Stephen Clapham
Publisher : Harriman House Limited
ISBN 13 : 0857197037
Total Pages : 226 pages
Book Rating : 4.8/5 (571 download)
Download or read book The Smart Money Method written by Stephen Clapham and published by Harriman House Limited. This book was released on 2020-11-24 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Smart Money Method, the stock-picking techniques used by top industry professionals are laid bare for investors. This is the inside track on how top hedge funds pick stocks and build portfolios to make outsize returns. Stephen Clapham is a retired hedge fund partner who now trains stock analysts at some of the world’s largest and most successful institutional investors. He explains step-by-step his research process for picking stocks and testing their market-beating potential. His methodology provides the tools and techniques to research new stock ideas, as well as maintain and eventually sell an investment. From testing your thesis and making investment decisions, to managing your portfolio and deciding when to buy and sell, The Smart Money Method covers everything you need to know to avoid common pitfalls and invest with confidence. Unique insight is presented in several specific areas, including how to: • Find stock ideas • Assess the quality of any business • Judge management’s ability • Identify shady accounting and avoid dying companies • Value any business to find bargain shares • Navigate the consequences of COVID-19 And throughout, there are real-life investing examples and war stories from a 25-year career in stock markets. The message is clear – you can beat the market. To do so, you need to learn and apply the insider secrets contained within this book.
Author : Dirk G. Baur
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Asymmetric Volatility in the Gold Market written by Dirk G. Baur and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of equity returns generally exhibits an asymmetric reaction to positive and negative shocks. Economic explanations for this phenomenon are leverage and a volatility feedback effect. This paper studies the volatility of gold and demonstrates that there is an inverted asymmetric reaction to positive and negative shocks, i.e. positive shocks increase the volatility by more than negative shocks. The paper argues that this effect is related to the safe haven property of gold. Investors interpret positive gold price changes as a signal for future adverse conditions and uncertainty in other asset markets. This introduces uncertainty in the gold market and thus higher volatility. The empirical results hold for gold bullion and gold coins denominated in different currencies, for different return frequencies, sample periods and distributional assumptions. Finally, we show that the inverted volatility effect of gold can lower the aggregate risk of a portfolio for specific correlation levels.
Author : Warren G. Dean
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asymmetric Covariance, Volatility and the Impact of News written by Warren G. Dean and published by . This book was released on 2001 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we investigate whether or not the conditional covariance between stock and market returns is asymmetric in response to good and bad news. Empirical observations such as the mean reversion of stock prices and asymmetric volatility can be readily explained by time varying risk premiums and it is the link between risk premiums and conditional covariance that we explore. Previous research has focussed on time varying betas but we propose that covariance asymmetry is a more powerful method of explaining such observed behaviour. Our model of conditional covariance accommodates both the sign and magnitude of return innovations and we find significant covariance asymmetry that can explain, at least in part, the mean reversion of stock prices and volatility feedback. We find little evidence in support of the leverage hypothesis of Christie (1982) in explaining asymmetric volatility. The results we obtain appear consistent across firm size, firm leverage, and temporal and cross sectional aggregations.
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book Option-Implied Risk-Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheekiat Low
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asymmetric Returns and Semidimensional Risks written by Cheekiat Low and published by . This book was released on 2001 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most theoretical models in finance measure risk as variance or covariance. However, many financial decision-makers seem to regard risk as the volatility of below-target returns and treat the volatility of above-target returns as a sweetener. Using simple metrics of downside risk and upside potential, constructed from conditional covariances, I test for the empirical content of this asymmetry. I introduce a new composite metric of semidimensional risks which reveals that the nonlinearity in the covariation of stock returns with bearish and bullish conditions of the market is priced in the cross-section of stock returns. In particular, I find that stocks that have concave characteristic regression lines against the market earn higher average returns than stocks that have convex characteristic regression lines. This new metric captures the relevant information in returns asymmetry or nonlinearity better than either coskewness or the square-coefficient from quadratic regression. I also present results that are consistent with a semidimensional risk-based explanation for the twin puzzles of return momentum and reversal. The primitive representation of the security pricing kernel as the negative of covariance between marginal utility of consumption and security returns lends theoretical support for semidimensional risks and provides a unifying perspective for seemingly disparate literature on semivariances, skewness and behavioral finance.
Author : Guojun Wu
Publisher :
ISBN 13 :
Total Pages : 246 pages
Book Rating : 4.:/5 (798 download)
Download or read book On Asymmetric Volatility in Equity Markets written by Guojun Wu and published by . This book was released on 1998 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
