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Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
(2015-02-12)
This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...
Análisis de viabilidad financiera de un proyecto de generación de electricidad a partir de carbón en Colombia
(Maestría en Administración FinancieraEscuela de Economía y Finanzas, 2018)
In this document is analyzed the financial viability of a power generation project with coal in the Colombian electric system, using as a methodology the discounted free cash flow and considering both the deterministic ...
Suboptimal investment behavior and welfare costs: A simulation based approachSuboptimal investment behavior and welfare costs: A simulation based approach.
We propose a representation of suboptimal investment behavior based on the stochastic discount factor (SDF) paradigm. Suboptimal investment behavior is rationalized as being the investor’s optimal decision under a wrong ...
Risk prices and model selection: bad news about sparse estimators and an uniformly valid inference theory
(2019-03-28)
Lots of risk factors have been published in Finance papers in the last 20 years. Under a large menu, it’s hard to manually construct factor models with data-driven discipline and, more importantly, it’s difficult to assess ...
Nonparametric assessment of hedge fund performance
(2018-04-23)
We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...
Forward-premium puzzle: is it time to abandon the usual regression?
(Routledge Journals, Taylor & Francis Ltd, 2016-06)
The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term ...
CAPM x Lower Partial Moments in Brazilian and American MarketsComparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano
(Lociedade Brasileira de Finanças, 2018)
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-24)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-11-05)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-08-12)
We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ...