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Download or read book International Stochastic Discount Factors and Stochastic Correlation written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 179 pages
Book Rating : 4.:/5 (924 download)
Download or read book International Stochastic Discount Factors and Stochastic Correlation written by and published by . This book was released on 2015 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paula Mirela Sandulescu
Publisher :
ISBN 13 :
Total Pages : 71 pages
Book Rating : 4.:/5 (13 download)
Download or read book Model-free International Stochastic Discount Factors written by Paula Mirela Sandulescu and published by . This book was released on 2018 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a theoretical characterization of international stochastic discount factors (SDFs) in incomplete markets under different degrees of market segmentation. Using 40 years of data on a cross-section of countries, we estimate model-free SDFs and factorize them into permanent and transitory components. We find that large permanent SDF components help to reconcile the low exchange rate volatility, the exchange rate cyclicality, and the forward premium anomaly. However, integrated markets entail highly volatile and almost perfectly comoving international SDFs. In contrast, segmented markets can generate less volatile and more dissimilar SDFs. In quest of relating the SDFs to economic fundamentals, we document strong links between proxies of financial intermediaries' risk-bearing capacity and model-free international SDFs. We interpret this evidence through the lens of an economy with two building blocks: limited participation by households and financiers who face an intermediation friction.
Author : Paula Mirela Sandulescu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (15 download)
Download or read book Model-free International Stochastic Discount Factors written by Paula Mirela Sandulescu and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stéphane Chrétien
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bounds on the Autocorrelation of Admissible Stochastic Discount Factors written by Stéphane Chrétien and published by . This book was released on 2005 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show how to use asset market data to restrict the admissible region for the first-order autocorrelation of the stochastic discount factor (SDF). We interpret this statistic as a measure of a model's economic time variation across two periods. Estimating bounds for nominal and real SDFs at monthly and quarterly frequencies, we find that the admissible autocorrelations are significantly negative, but greater than -0.02, implying that the bounds impose a strong restriction on candidate SDFs. We illustrate the relevancy of these findings by showing that some widely used consumption-based models are misspecified with respect to the autocorrelation bound. Finally, we examine the implications of our results for the admissibility of linear factor models and the appropriateness of empirical pricing factors.
Author : Wolfgang Drobetz
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (6 download)
Download or read book Volatility Bounds for Stochastic Discount Factors on Global Financial Markets written by Wolfgang Drobetz and published by . This book was released on 1999 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gurdip Bakshi
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Theory of Dissimilarity Between Stochastic Discount Factors written by Gurdip Bakshi and published by . This book was released on 2020 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a measure of dissimilarity between stochastic discount factors (SDFs) in different economies. The SDFs are made comparable using the respective bond prices as the numeraire. The measure is dimensionless, synthesizes features of the risk-neutral moments of excess currency returns, and can be extracted from currency option prices. Linking theory to data, we provide evidence gathered from (i) the cross-section of 45 currency option prices, (ii) the time-series of currency returns, (iii) estimated SDFs using model-free restrictions, and (iv) structural models in international finance.
Author : Peter Carr
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies written by Peter Carr and published by . This book was released on 2011 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop models of stochastic discount factors in international economies that produce stochastic risk premiums and stochastic skewness in currency options. We estimate the models using time-series returns and option prices on three currency pairs that form a triangular relation. Estimation shows that the average risk premium in Japan is larger than that in the US or the UK, the global risk premium is more persistent and volatile than the country-specific risk premiums, and investors respond differently to different shocks. We also identify high-frequency jumps in each economy, but find that only downside jumps are priced. Finally, our analysis shows that the risk premiums are economically compatible with movements in stock and bond market fundamentals.
Author : Wolfgang Drobetz
Publisher : Springer Science & Business Media
ISBN 13 : 3663085295
Total Pages : 346 pages
Book Rating : 4.6/5 (63 download)
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author : Fousseni Chabi-Yo
Publisher :
ISBN 13 :
Total Pages : 117 pages
Book Rating : 4.:/5 (13 download)
Download or read book Real-Time Distribution of Stochastic Discount Factors written by Fousseni Chabi-Yo and published by . This book was released on 2019 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: I use option prices to infer real-time moments of stochastic discount factors (SDFs). The moments are estimated, from daily SP 500 index option data, in real time, without relying on past observations. These moments are forward-looking and significantly predict the market excess return. The theory suggests that the SDF variance (kurtosis) is positively priced while the SDF skewness is negatively priced in the cross section of returns. A cross-sectional analysis shows that the price of risks associated with the moments of the SDF are economically and statistically significant after controlling for a comprehensible set of economic variables.
Author : Serena Atim Agoro-Menyang
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.E/5 ( download)
Download or read book Stochastic Discount Factor Estimation Using State-space Theory and the Kalman Filter written by Serena Atim Agoro-Menyang and published by . This book was released on 1996 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gurdip Bakshi
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (13 download)
Download or read book Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies written by Gurdip Bakshi and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an incomplete markets framework to synthesize domestic and foreign stochastic discount factors (SDFs) that are consistent with limited international risk sharing. The fundamental departure in our paper is that exchange rate growth need not equal the ratio of SDFs, and we develop a restriction that precludes “good deals” in international economies with incomplete markets. Our innovation is to study an incomplete markets problem that is consistent with SDFs that (i) are nonnegative, (ii) correctly price returns, and (iii) disallow “good deals.”
Author : Eni Koci
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (891 download)
Download or read book The Stochastic Discount Factor and the Generalized Method of Moments written by Eni Koci and published by . This book was released on 2006 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The fundamental theorem of asset pricing in finance states that the price of any asset is its expected discounted payoff. Ideally, the payoff is discounted by a factor, which depends on parameters present in the market, and it should be unique, in the sense that financial derivatives should be able to be priced using the same discount factor. In theory, risk neutral valuation implies the existence of a positive random variable, which is called the stochastic discount factor and is used to discount the payoffs of any asset. Apart from asset pricing another use of stochastic discount factor is to evaluate the performance of the of hedge fund managers. Among many methods used to evaluate the stochastic discount factor, generalized method of moments has become very popular. In this paper we will see how generalized method of moments is used to evaluate the stochastic discount factor on linear models and the calculation of stochastic discount factor using generalized method of moments for the popular model in finance CAPM.
Author : Timothy Cogley
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models written by Timothy Cogley and published by . This book was released on 1997 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne E. Ferson
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Discount Factor Bounds with Conditioning Information written by Wayne E. Ferson and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hansen and Jagannathan (HJ, 1991) describe restrictions on the volatility of stochastic discount factors (SDFs) that price a given set of asset returns. This paper compares the sampling properties of different versions of HJ bounds that use conditioning information in the form of a given set of lagged instruments. HJ describe one way to use conditioning information. Their approach is to multiply the original returns by the lagged variables, and much of the asset pricing literature to date has followed this ihmultiplicativel. approach. We also study two versions of optimized HJ bounds with conditioning information. One is from Gallant, Hansen and Tauchen (1990) and the second is based on the unconditionally-efficient portfolios derived in Ferson and Siegel (2000). We document finite-sample biases in the HJ bounds, where the biased bounds reject asset-pricing models too often. We provide useful correction factors for the bias. We also evaluate the asymptotic standard errors for the HJ bounds, from Hansen, Heaton and Luttmer (1995).
Author : Wayne E. Ferson
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (248 download)
Download or read book Stochastic Discount Factor Bounds with Conditioning Information written by Wayne E. Ferson and published by . This book was released on 2002 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hansen and Jagannathan (HJ, 1991) describe restrictions on the volatility of stochastic discount factors (SDFs) that price a given set of asset returns. This paper compares the sampling properties of different versions of HJ bounds that use conditioning information in the form of a given set of lagged instruments. HJ describe one way to use conditioning information. Their approach is to multiply the original returns by the lagged variables, and much of the asset pricing literature to date has followed this ihmultiplicativel. approach. We also study two versions of optimized HJ bounds with conditioning information. One is from Gallant, Hansen and Tauchen (1990) and the second is based on the unconditionally-efficient portfolios derived in Ferson and Siegel (2000). We document finite-sample biases in the HJ bounds, where the biased bounds reject asset-pricing models too often. We provide useful correction factors for the bias. We also evaluate the asymptotic standard errors for the HJ bounds, from Hansen, Heaton and Luttmer (1995)
Author : Gita Gopinath
Publisher : Elsevier
ISBN 13 : 0444543155
Total Pages : 773 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of International Economics written by Gita Gopinath and published by Elsevier. This book was released on 2014-02-22 with total page 773 pages. Available in PDF, EPUB and Kindle. Book excerpt: What conclusions can be drawn from recent advances in international trade and international macroeconomics? New datasets, theoretical models, and empirical studies have resulted in fresh questions about the world trade and payment system. These chapters--six on trade and six on international macroeconomics--reveal the richness that researchers have uncovered in recent years. The chapters on foreign trade present, among other subjects, new integrated multisector analytical frameworks, the use of gravity equations for the estimation of trade flows, the role of domestic institutions in shaping comparative advantage, and international trade agreements. On international macroeconomics, chapters explore the relation between exchange rates and other macroeconomic variables; risk sharing, allocation of capital across countries, and current account dynamics; and sovereign debt and financial crises. By addressing new issues while enabling deeper and sharper analyses of old issues, this volume makes a significant contribution to our understanding of the global economy. - Systematically illuminates and interprets recent developments in research on international trade and international macroeconomics - Focuses on newly developing questions and opportunities for future research - Presents multiple perspectives on ways to understand the global economy
