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作者：Tomunen, Tuomas
作者单位：Boston College
摘要：I test whether asset prices reflect risk exposures of financial intermediaries in a setting well-suited to tackling concerns about omitted risk factors. I analyze catastrophe bonds whose cash flows are linked to natural disasters and find that 71% of the security-level variation in expected returns can be explained by a theoretically motivated measure of intermediaries' marginal utility. Assuming natural disasters are independent of aggregate wealth, this result is inconsistent with any altern...
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作者：Hilscher, Jens; Raviv, Alon; Reis, Ricardo
作者单位：University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
摘要：Long-dated inflation swap contracts provide widely used estimates of expected inflation. We develop methods to estimate complementary tail probabilities for persistently very high or low inflation using inflation options prices. We show that three new adjustments to conventional methods are crucial: inflation, horizon, and risk. We find that: (a) U.S. deflation risk in 2011-2014 has been overstated, (b) ECB unconventional policies lowered deflation disaster probabilities, (c) inflation expecta...
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作者：Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, Varun
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; University of Southern California; Harvard University; Indiana University System; Indiana University Bloomington
摘要：We propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors' preferences and mandates in an empirically tractable way. Our model, estimated on rich holdings data, quantifies investors' preferences and demand elasticities, with inelastic insurers focusing on the investment-grade segment, and elastic mutual funds substituting across ratings groups. The model offers a novel quantitative perspective of the effect of recent trends in institu...
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作者：Fang, Xiang; Liu, Yang; Roussanov, Nikolai
作者单位：University of Hong Kong; University of Pennsylvania; National Bureau of Economic Research
摘要：Do real assets protect against inflation? Stocks' core inflation betas are negative, while their energy betas are positive. Currencies, commodities, and real estate mostly hedge against energy inflation, but not core inflation. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent within and across asset classes, uniquely among macroeconomic risk factors. Energy inflation has become more pro...
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作者：Hansen, Peter Reinhard; Tong, Chen
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Xiamen University; Xiamen University
摘要：We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing for...
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作者：Hendershott, Terrence; Khan, Saad Ali; Riordan, Ryan
作者单位：University of California System; University of California Berkeley; Universite de Montreal; HEC Montreal; University of Munich; Queens University - Canada
摘要：Wholesale market makers pay for retail options orders that must be executed on exchanges. Payment for order flow (PFOF) wholesalers compete via price improvement in exchange auctions. To attract retail orders, wholesalers run more auctions when their recent price improvement has been lower. However, auction price improvement lowers market maker revenues. Wholesalers earn revenues to pay PFOF in nonauction trades where their designated market maker status increases their execution priority. Whi...
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作者：Horenstein, Alex; Vasquez, Aurelio; Xiao, Xiao
作者单位：University of Miami; Instituto Tecnologico Autonomo de Mexico; University of Cambridge
摘要：We explore the factor structure in delta-hedged equity option returns. A sparse latent factor model generates a correlation of 0.90 or higher between average and predicted option returns. A comparable performance is achieved with a characteristic-based model containing four factors: the equally weighted option portfolio, a factor based on the difference between historical and implied volatilities, a factor based on the ratio of corporate cash holdings to the total value of the firm's assets, a...
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作者：Tomunen, Tuomas
作者单位：Boston College
摘要：I test whether asset prices reflect risk exposures of financial intermediaries in a setting well-suited to tackling concerns about omitted risk factors. I analyze catastrophe bonds whose cash flows are linked to natural disasters and find that 71% of the security-level variation in expected returns can be explained by a theoretically motivated measure of intermediaries' marginal utility. Assuming natural disasters are independent of aggregate wealth, this result is inconsistent with any altern...
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作者：Hilscher, Jens; Raviv, Alon; Reis, Ricardo
作者单位：University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
摘要：Long-dated inflation swap contracts provide widely used estimates of expected inflation. We develop methods to estimate complementary tail probabilities for persistently very high or low inflation using inflation options prices. We show that three new adjustments to conventional methods are crucial: inflation, horizon, and risk. We find that: (a) U.S. deflation risk in 2011-2014 has been overstated, (b) ECB unconventional policies lowered deflation disaster probabilities, (c) inflation expecta...
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作者：Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, Varun
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; University of Southern California; Harvard University; Indiana University System; Indiana University Bloomington
摘要：We propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors' preferences and mandates in an empirically tractable way. Our model, estimated on rich holdings data, quantifies investors' preferences and demand elasticities, with inelastic insurers focusing on the investment-grade segment, and elastic mutual funds substituting across ratings groups. The model offers a novel quantitative perspective of the effect of recent trends in institu...
