Asymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu, 2000)). We study asymmetric volatility for daily S&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.
股票市场的不对称波动在金融领域得到了广泛的记录(Bekaert and Wu, 2000)。我们研究了标准普尔500指数每日收益和VIX指数变化的非对称波动率，从而检验了风险中性波动率预期(即市场压力)的极端变化与总资产价格之间的关系。为此，我们对市场收益、隐含波动率指数市场波动率和波动率的波动率进行了建模，结果表明后者是不对称的，即过去的积极波动率冲击推动了对波动率波动率的积极冲击。我们的主要结果证明存在显著的极端不对称波动效应，因为我们发现同期波动率-回报尾依赖于崩溃，而不是繁荣。然后，我们概述了极端不对称波动对总市场价格的影响，表明在波动率反馈下，例如，对平均VIX隐含波动率的一百分之一的交易日创新与预期市场下跌超过4%有关。
{"title":"Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices","authors":"Sofiane Aboura, N. Wagner","doi":"10.2139/ssrn.1348563","DOIUrl":"https://doi.org/10.2139/ssrn.1348563","url":null,"abstract":"Asymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu, 2000)). We study asymmetric volatility for daily S&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.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133930642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyze the impact of the length of incomplete contracts on investment and surplus sharing. In the bilateral relationship explored, the seller controls the input and the buyer invests. With two-part tariffs, the length of the contract is irrelevant: the surplus is maximal and goes to the seller. In linear contracts, the seller prefers the shortest contract and the buyer the longest one. Further, the commitment period concentrates the incentives, whereas afterwards there is rent extraction. The socially efficient contract is as short as possible; yet, long contracts can be promoted because of the surplus they allocate to the buyer.
{"title":"Strategic Capacity Investment Under Hold-Up Threats: The Role of Contract Length and Width","authors":"Laure Durand-Viel, B. Villeneuve","doi":"10.2139/ssrn.1552286","DOIUrl":"https://doi.org/10.2139/ssrn.1552286","url":null,"abstract":"We analyze the impact of the length of incomplete contracts on investment and surplus sharing. In the bilateral relationship explored, the seller controls the input and the buyer invests. With two-part tariffs, the length of the contract is irrelevant: the surplus is maximal and goes to the seller. In linear contracts, the seller prefers the shortest contract and the buyer the longest one. Further, the commitment period concentrates the incentives, whereas afterwards there is rent extraction. The socially efficient contract is as short as possible; yet, long contracts can be promoted because of the surplus they allocate to the buyer.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"18 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114036286","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper we examine the dependence between the liquidation risks of individual hedge funds. This dependence can result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous behaviour of a fund manager impacts the Net Asset Values of other funds. We introduce dynamic models able to distinguish between frailty and contagion phenomena, and test for the presence of such dependence effects, according to the age and management style of the fund. We demonstrate the empirical relevance of our approach by measuring the magnitudes of contagion and exogenous frailty in liquidation risk dependence in the TASS database. The empirical analysis is completed by stress-tests on portfolios of hedge funds.
{"title":"Survival of Hedge Funds: Frailty vs Contagion","authors":"S. Darolles, P. Gagliardini, C. Gouriéroux","doi":"10.2139/ssrn.2192401","DOIUrl":"https://doi.org/10.2139/ssrn.2192401","url":null,"abstract":"In this paper we examine the dependence between the liquidation risks of individual hedge funds. This dependence can result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous behaviour of a fund manager impacts the Net Asset Values of other funds. We introduce dynamic models able to distinguish between frailty and contagion phenomena, and test for the presence of such dependence effects, according to the age and management style of the fund. We demonstrate the empirical relevance of our approach by measuring the magnitudes of contagion and exogenous frailty in liquidation risk dependence in the TASS database. The empirical analysis is completed by stress-tests on portfolios of hedge funds.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126854329","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
It is well documented that stock returns have different sensitivities to changes in aggregate volatility, however less is known about their sensitivity to market jump risk. By using S&P 500 crash-neutral at-the-money straddle and out-of-money put returns as proxies for aggregate volatility and market jump risk, I document significant differences between volatility and jump loadings of value versus growth, and small versus big portfolios. In particular, small (big) and value (growth) portfolios exhibit negative (positive) and significant volatility and jump betas. I also provide further evidence that both volatility and jump risk factors are priced and negative.
{"title":"Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia","authors":"Y. E. Arısoy","doi":"10.2139/ssrn.1343626","DOIUrl":"https://doi.org/10.2139/ssrn.1343626","url":null,"abstract":"It is well documented that stock returns have different sensitivities to changes in aggregate volatility, however less is known about their sensitivity to market jump risk. By using S&P 500 crash-neutral at-the-money straddle and out-of-money put returns as proxies for aggregate volatility and market jump risk, I document significant differences between volatility and jump loadings of value versus growth, and small versus big portfolios. In particular, small (big) and value (growth) portfolios exhibit negative (positive) and significant volatility and jump betas. I also provide further evidence that both volatility and jump risk factors are priced and negative.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130597234","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence under the risk-neutral measure using credit default swap (CDS) spread data of liquid large-cap U.S. obligors. The proxy for the commonfactor is the DJ CDX.NA.IG index. We document that (i) the CDX factor is significant but has low explanatory power, (ii) factor sensitivities show distinct time-varying nature and that (iii) systematic credit risk shows asymmetric extreme factor dependence, where extreme dependence is present for upward CDX movements only. This finding from an EVT-copula approach is what is predicted by various intensity models of joint defaults.
{"title":"Systematic Credit Risk: CDX Index Correlation and Extreme Dependence","authors":"Sofiane Aboura, N. Wagner","doi":"10.2139/ssrn.1012626","DOIUrl":"https://doi.org/10.2139/ssrn.1012626","url":null,"abstract":"Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence under the risk-neutral measure using credit default swap (CDS) spread data of liquid large-cap U.S. obligors. The proxy for the commonfactor is the DJ CDX.NA.IG index. We document that (i) the CDX factor is significant but has low explanatory power, (ii) factor sensitivities show distinct time-varying nature and that (iii) systematic credit risk shows asymmetric extreme factor dependence, where extreme dependence is present for upward CDX movements only. This finding from an EVT-copula approach is what is predicted by various intensity models of joint defaults.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131297238","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Debt is traditionally analyzed as disciplinary in the shareholders-manager conflict. It is less commonly analyzed in relation to controlling and outside shareholders. This paper shows that the joint problematics of ownership, private benefits and debt leverage are linked in a framework of financial governance. At the same time, debt helps to manage the conflict because it may be easier for the controlling shareholders to modify the leverage ratio than to modify his share of capital. A model shows that debt appears as a key governance variable as it can moderate private benefits or, conversely, may help diversion. The entrenchment effect and the fear for failure may explain the impact of debt. The existence of self-limited appropriation logics is highlighted as well as the importance of the information policy adopted by the controlling shareholders. In this paper, we test a possible non-linear relation between shareholders ownership and leverage. Using a sample of 118 French listed firms over the period 1998-2002, our results show that controlling shareholders ownership is linked with debt at different stage. At low levels of ownership, controlling shareholders use more debt in order to inflate their stake in capital and resist to unfriendly takeovers attempts. When ownership reaches a certain point, controlling shareholders' objectives converge further to those of outside shareholders. Moreover, the fear of financial distress will prompt controlling shareholders to reduce the firm's leverage ratio.
{"title":"Ownership Structure and Debt Leverage: Empirical Test on French","authors":"Hubert de la Bruslerie, Imen Latrous","doi":"10.2139/ssrn.966120","DOIUrl":"https://doi.org/10.2139/ssrn.966120","url":null,"abstract":"Debt is traditionally analyzed as disciplinary in the shareholders-manager conflict. It is less commonly analyzed in relation to controlling and outside shareholders. This paper shows that the joint problematics of ownership, private benefits and debt leverage are linked in a framework of financial governance. At the same time, debt helps to manage the conflict because it may be easier for the controlling shareholders to modify the leverage ratio than to modify his share of capital. A model shows that debt appears as a key governance variable as it can moderate private benefits or, conversely, may help diversion. The entrenchment effect and the fear for failure may explain the impact of debt. The existence of self-limited appropriation logics is highlighted as well as the importance of the information policy adopted by the controlling shareholders. In this paper, we test a possible non-linear relation between shareholders ownership and leverage. Using a sample of 118 French listed firms over the period 1998-2002, our results show that controlling shareholders ownership is linked with debt at different stage. At low levels of ownership, controlling shareholders use more debt in order to inflate their stake in capital and resist to unfriendly takeovers attempts. When ownership reaches a certain point, controlling shareholders' objectives converge further to those of outside shareholders. Moreover, the fear of financial distress will prompt controlling shareholders to reduce the firm's leverage ratio.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"6 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114107132","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major limits in not allowing for direct recognition of synergy occurring amongst the firm intangible and tangible items (Casta, 1994; Casta & Lesage, 2001). Although the firm synergy phenomenon has been widely documented in the recent accounting literature (see for instance, Hand & Lev, 2004; Lev, 2001) research hitherto has failed to provide a clear approach to assess directly and account for such a henceforth fundamental corporate factor. The objective of this paper is to raise and examine, but not address exhaustively, the specific issues induced by modelling the synergy occurring amongst the firm assets whilst pointing out the limits of traditional accounting valuation tools. Since financial accounting valuation methods are mostly based on the mathematical property of additivity, and consequently may occult the perspective of regarding the firm as an organized set of assets, we propose an alternative valuation approach based on non-additive measures issued from the Choquet's (1953) and Sugeno's (1997) framework. More precisely, we show how this integration technique with respect to a non-additive measure can be used to cope with either positive or negative synergy in a firm value-building process and then discuss its potential future implications for financial reporting.
{"title":"Intangibles Mismeasurement, Synergy, and Accounting Numbers: A Note","authors":"J. Casta, Olivier J. Ramond","doi":"10.2139/ssrn.860824","DOIUrl":"https://doi.org/10.2139/ssrn.860824","url":null,"abstract":"For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major limits in not allowing for direct recognition of synergy occurring amongst the firm intangible and tangible items (Casta, 1994; Casta & Lesage, 2001). Although the firm synergy phenomenon has been widely documented in the recent accounting literature (see for instance, Hand & Lev, 2004; Lev, 2001) research hitherto has failed to provide a clear approach to assess directly and account for such a henceforth fundamental corporate factor. The objective of this paper is to raise and examine, but not address exhaustively, the specific issues induced by modelling the synergy occurring amongst the firm assets whilst pointing out the limits of traditional accounting valuation tools. Since financial accounting valuation methods are mostly based on the mathematical property of additivity, and consequently may occult the perspective of regarding the firm as an organized set of assets, we propose an alternative valuation approach based on non-additive measures issued from the Choquet's (1953) and Sugeno's (1997) framework. More precisely, we show how this integration technique with respect to a non-additive measure can be used to cope with either positive or negative synergy in a firm value-building process and then discuss its potential future implications for financial reporting.","PeriodicalId":275238,"journal":{"name":"Paris-Dauphine: Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129511685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：