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      A Study of Asset Pricing in an Ageing Population

      Author(s) :
      Yasusori Iwanaga, PhD
      When the Representative Agent Ages, Risk Attitude of an Aging Population - a Case of Japan: Demographic distribution influences asset pricing through shifting the agent’s risk attitude. I develop a simple preference model, "ageing agent utility", with a linear risk aversion function of age distribution in a time-separable utility. Two descriptors incorporate the dynamics of demography: the...
      2016

      Two essays played on the credit triangle: Implied Recovery Rates and Implied Ratings

      Author(s) :
      Jeroen Jansen, PhD
      Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the product of the probability of default and the loss given default. It is necessary to implement some structure on either the probability or the loss given default to disentangle them. With the help of a hybrid binomial tree for equities and a recovery function, Das and Hanouna...
      2016

      Bankruptcy Law Reforms and Enforcement: consequences on Bank Credit for SMEs

      Author(s) :
      Marco Ghitti, PhD
      “Great Expectations” or “Side Effects”? Bankruptcy Law Reforms and Bank Credit for SMEs: A series of Italian Bankruptcy Law reforms, aiming to facilitate debt renegotiation and business continuation, allows us to disentangle how a change of creditor rights affects Bank Credit Market for SMEs. We exploit a new credit level dataset on bank credit, with more than 6.4 million pooled observations. By...
      2016

      Essays in Asset Pricing and Market Microstructure

      Author(s) :
      François Cocquemas, PhD
      Does market incompleteness matter for market microstructure?: Market incompleteness should matter in theory, but it is difficult to identify and measure the magnitude of its effects, especially on market microstructure. We use a natural experiment at the Tel Aviv Stock Exchange (TASE) to analyze how order submission patterns, trading and hedging strategies, and overall market impact are affected...
      2016

      Performance evaluation and Persistence in Private Equity

      Author(s) :
      Sue Wan Chua, PhD
      Performance Persisted in Private Equity: The first paper studies the performance and persistence of U.S. buyout funds with updated and detailed cash flow data from a publicly available database. I find substantial heterogeneity in performance exists across post-2000 funds and the better performing funds sustain their outperformance across successive funds of the same GP. When current funds are...
      2016

      Multiple Curves and Multiple Regimes: Libor Market Models on Switching (co-Jump) Diffusions

      Author(s) :
      Rodney Hoskinson, PhD
      Multiple Curve Libor Market Models on Hybrid Switching Diffusions: This paper introduces a comprehensive approach to modelling the term structure of interest rates and volatility by setting double curve Libor market models (“LMMs”) on a hybrid switching diffusion. Modelling interest rate volatility over the whole term structure is an important part of building a model for pricing interest rates...
      2016

      Introducing State Contingencies in Longevity Risk Models with n-State Stochastic Longevity Data Generating Process - Applications to Asset Pricing of Life-Contingent Claims and Decumulation Phase Asset Allocation

      Author(s) :
      Russell Nel, PhD
      Asset Pricing Of Life-Contingent Claims with n-State Stochastic Longevity Data Generating Process: Longevity risk is expected to dominate all major public and private sectors for the foreseeable future. The research hypothesizes that idiosyncratic impaired-health states, in the age cohort exceeding 65 years, is a crucial clinical variable required to profile individual life expectancy with...
      2016

      Forecasting Equity Returns and Volatility with Regime-Switching Partial Least Squares

      Author(s) :
      Jakob Von Ganske, PhD
      A Regime Switching Partial Least Squares Approach to Forecasting Industry Stock Returns: Using monthly stock returns on 16 industry portfolios next to the S&P500 com- posite stock return index as forecasting targets, this paper shows that a data reduction technique which incorporates regime dependent forecasting power of various macroeconomic and  nancial predictors produces positive and...
      2016

      Extreme Weather Events and Financial Markets: The Impact of North Atlantic Hurricanes

      Author(s) :
      Matthew Lanfear, PhD
      An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather events over the coming decades due to climate change. We examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. For industry portfolios spanning the entire U.S. stock market, we find that the abnormal effect...
      2016

      Is Climate Change Affecting the Stock Market? A Study of the Impact of Extreme Weather Events on Stock Returns, Volatility and Liquidity

      Author(s) :
      Mark Siebert, PhD
      An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather events over the coming decades due to climate change. We examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. For industry portfolios spanning the entire U.S. stock market, we find that the abnormal effect...
      2016

      Evaluation of alternative managers and strategies

      Author(s) :
      Rama Malladi, PhD
      Skillful Hiding: Evaluating hedge fund managers' performance based on what they hide: Mandatory disclosure of hedge fund portfolios has been a hotly debated topic. After much deliberation, the Securities and Exchange Commission (SEC) adopted in July 2011 new guidelines and rules as part of the Dodd-Frank Wall Street Reform and Consumer Protection Act. This paper studies asset returns of \...
      2016

      Short-Term Nodal Trading in Electricity Markets: Momentum Strategies & Benchmarking Performance

      Author(s) :
      Bahi Kandavel, PhD

      2015

      Nonparametric Methods in Asset Allocation

      Author(s) :
      Mohan Subbiah, PhD
      Equity Style Allocation: A Nonparametric Approach: The purpose of this paper is to produce a framework to assist with style allocation in Asian equity funds. We implement a nonparametric methodology to capture short-term stable time-varying relationships of otherwise long-term unstable relationships between numerous macroeconomic variables and style returns. We demonstrate that a nonparametric...
      2015

      Multi-country study of yield curve dynamics in a monetary policy framework

      Author(s) :
      Igor Lojevsky, PhD
      Multi-Country Study Of The Yield Curve In A Monetary Policy Framework: This paper studies the yield curve in 20 countries with a special focus on monetary policy framework, most importantly in ation targeting (IT) and exchange rate (ER) anchor. It has been shown that the Nelson-Siegel (NS) approach provides a close  to the actual yields under both monetary regimes. The average yields in the...
      2015

      Household investment mistakes: evidence and avoidance

      Author(s) :
      Chris Firth, PhD
      New Evidence And Perspectives On Household Investment Mistakes: I empirically test predictions of normative finance models using a unique set of disaggregated data on household investment portfolios. Most findings of this study are consistent with stylized facts, but I uncover new mistakes and puzzles. On average, the households in the sample (i) perform well versus equity benchmarks but poorly...
      2015

      Can we outperform simple rule strategies: Evidence from volatility market and optimized bond portfolios

      Author(s) :
      Yaacov Kopeliovich, PhD
      Can technical trading be profitable - evidence from volatility markets: In this paper we research whether look back trading strategies can be pro table in volatility markets over time. We examine these strategies on VIX time series and short term futures, which trade based on the VIX index. We compare the performance of the technical strategies with a benchmark strategy of buy and hold. We ...
      2014

      Comovement in Asset Prices and Low Latency Trading

      Author(s) :
      Shankar Ramachandran, PhD
      Impact of low latency trading on market liquidity: We study the impact of low latency trading on market liquidity using a natural experiment at National Stock Exchange of India. We find that introduction of co-location facilities leads to a significant improvement in market liquidity; quoted spreads and effective spreads decline across all stocks. Studying the impact on the components of...
      2014

      BR-CVA with Wrong Way Risk and SABR Hedging for FX Option

      Author(s) :
      Yifan Yang, PhD
      Bilateral Counterparty Risk Valuation Adjustment with Wrong Way Risk on Collateralized Commodity Counterparty: Basel III explicitly requires banks to include credit value adjustment (CVA) into capital charges, and both CVA and debt value adjustment (DVA) are required to be included in the accounting value for derivatives that are using market-to-market accounting rule. Wrong-way risk (WWR) refers...
      2014

      Loan default rates in the great recession

      Author(s) :
      Kai Wing Chan, PhD
      Stochastic Volatility and Regime Switching for Consumer Loan Loss Dynamics: The majority of the empirical studies in the fields of Finance and Econometric focus on asset pricing and interest rate. Related studies on bank’s lending portfolio loan losses are lacking. In this study, I propose using a discrete-time stochastic volatility model with regime switching to fit the loss dynamics of the...
      2014

      Essays on Conditional Inflation Hedging and Manager Performance Persistence

      Author(s) :
      Rehan Syed, PhD
      Persistence of luck drives funds-of-funds outperformance: This paper shows there is a third way in the debate between proponents of passive versus active management. In contrast to a common finding of underperformance in the mutual fund industry, we show that fund-of-funds composed of active managers of asset allocation funds can outperform due to the persistence of luck; such a portfolio, formed...
      2014

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