Aslihan Altay Salih

TL;DR: In this paper, the authors introduced a new model, threshold CAPM, which outperforms both the conditional and unconditional CAPMs by generating smaller pricing errors and showed that the beta risk changes through time with the changes in the economic environment and the dynamics of time variation of beta differ across industries.

TL;DR: This article examined the impact of macroeconomic announcements on the high-frequency behavior of the observed implied volatility skew of S&P 500 index options and VIX and found that good and bad announcements significantly and asymmetrically change implied volatility slope and volatility.

TL;DR: The authors examined whether volatility risk is a priced risk factor in securities returns and found that volatility risk captures time variation in the stochastic discount factor, suggesting that straddle returns are important conditioning variables in asset pricing.

TL;DR: This analysis provides tighter price bounds on the contingent claim in an incomplete market, which may converge to a unique price for a specific value of a gain-loss preference parameter imposed by the market while the hedging policies may be different for different sides of the same trade.

TL;DR: In this article, the conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock, and it is shown that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.