计量经济分析 = Econometric analysis

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Asset returns and inflation

This thesis concerns the design and analysis of new discrete time approximations for stochastic differential equations (SDEs) driven by Wiener processes and Poisson random measures. In financial modelling, SDEs with jumps are often used to describe the dynamics of state variables such as credit ratings, stock indices, interest rates, exchange rates and electricity prices. The jump component can capture event-driven uncertainties, such as corporate defaults, operational failures or central bank announcements. The thesis proposes new, efficient, and numerically stable strong and weak approximations. Strong approximations provide efficient tools for problems such as filtering, scenario analysis and hedge simulation, while weak approximations are useful for handling problems such as derivative pricing, the evaluation of moments, and the computation of risk measures and expected utilities. The discrete time approximations proposed are divided into regular and jump-adapted schemes. Regular schemes employ time discretizations that do not include the jump times of the Poisson measure. Jump-adapted time discretizations, on the other hand, include these jump times. The first part of the thesis introduces stochastic expansions for jump diffusions and proves new, powerful lemmas providing moment estimates of multiple stochastic integrals. The second part presents strong approximations with a new strong convergence theorem for higher order general approximations. Innovative strong derivative-free and predictor-corrector schemes are derived. Furthermore, the strong convergence of higher order schemes for pure jump SDEs is established under conditions weaker than those required for jump diffusions. The final part of the thesis presents a weak convergence theorem for jump-adapted higher order general approximations. These approximations include new derivative-free, predictor-corrector, and simplified schemes. Finally, highly efficient implementations of simplified weak schemes based on random bit generators and hardware accelerators are developed and tested.

/pdf/numerical-solution-of-stochastic-differential-equations-with-lhh35kq3l9.pdf

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

This paper examines the volatility of common stocks of the Athens Stock Exchange at the market, industry and firm level. Over the period from 1988 to 2009 there has been a considerable increase in firm-level volatility relative to the market volatility, which implies that it takes increasingly more stocks to diversify away idiosyncratic risk. All volatility series move together and they are trended upwards. All three volatility measures show a countercyclical behaviour relative to GDP growth, and they all help to forecast GDP. Correlations among individual stocks have increased over the sample period, yet the explanatory power of the market model for a typical stock is still relatively low. All three volatility series rise during times of low returns. Factors that may be responsible for these findings are suggested.

Have individual stocks become more volatile : an empirical exploration of idiosyncratic risk

In the context of managing downside correlations, we examine the use of multi-dimensional elliptical and asymmetric copula models to forecast returns for portfolios with 3 to 12 constituents. Our analysis assumes that investors have no short-sales constraints and a utility function characterized by the minimization of Conditional Value-at-Risk (CVaR). We examine the efficient frontiers produced by each model and focus on comparing two methods for incorporating scalable asymmetric dependence structures across asset returns using the Archimedean Clayton copula in an out-of-sample, long-run multi-period setting. For portfolios of higher dimensions, we find that modelling asymmetries within the marginals and the dependence structure with the Clayton canonical vine copula (CVC) consistently produces the highest-ranked outcomes across a range of statistical and economic metrics when compared to other models incorporating elliptical or symmetric dependence structures. Accordingly, we conclude that CVC copulas are ‘worth it’ when managing larger portfolios.

Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

In the context of managing downside correlations, we examine the use of multi-dimensional elliptical and asymmetric copula models to forecast returns for portfolios with 3–12 constituents. Our analysis assumes that investors have no short-sales constraints and a utility function characterized by the minimization of Conditional Value-at-Risk (CVaR). We examine the efficient frontiers produced by each model and focus on comparing two methods for incorporating scalable asymmetric dependence structures across asset returns using the Archimedean Clayton copula in an out-of-sample, long-run multi-period setting. For portfolios of higher dimensions, we find that modeling asymmetries within the marginals and the dependence structure with the Clayton canonical vine copula (CVC) consistently produces the highest-ranked outcomes across a range of statistical and economic metrics when compared to other models incorporating elliptical or symmetric dependence structures. Accordingly, we conclude that CVC copulas are ‘worth it’ when managing larger portfolios.

Canonical vine copulas in the context of modern portfolio management: are they worth it?

Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.

A note on the Balanced method

We study a unique data set in order to examine the performance of a sample of 169 global private equity real estate investment funds across the core, value-add and opportunistic investment style categories over the most recent property cycle (2001-2011). We employ a multi-factor asset pricing model to measure the impact on the funds’ total excess returns of the underlying real estate market, managerial skill measured by Jensen’s alpha, leverage and, for the first time, managerial skill as it relates to timing leverage decisions to anticipated future market trends. We find evidence consistent with the hypotheses that i) fund performance is almost directly proportional to the return on the underlying real estate market, ii) there is evidence for systematic underperformance as measured by Jensen’s alpha, possibly related to market frictions, iii) leverage cannot be viewed as a long-term strategy to enhance performance, and iv) timing leverage choices to the expected future market environment does not appear to add significantly to fund excess returns.

/pdf/the-role-of-financial-leverage-in-the-performance-of-private-7b1vhen2nn.pdf

The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds

We examine the determinants of debt maturity in the Australian capital market with the Top 400 firms listed on the Australian Securities Exchange for the period 1989–2006. We find that Australian firms not only exhibit a positive leverage–maturity relationship but also use short-term debt to signal their high quality to the market. Our results are robust to different estimation methods that control for endogeneity and error-dependence. We also find that ignoring the interaction between leverage and maturity can lead to erroneous conclusions about the support for the matching principle, the agency costs hypothesis and the transaction costs hypothesis.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1728565_code371575.pdf?abstractid=1728565&mirid=1

Jamie Alcock

Papers

Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

Canonical vine copulas in the context of modern portfolio management: are they worth it?

A note on the Balanced method

The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds

The determinants of debt maturity in Australian firms