Asset prices and “the devil(s) you know”

Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, Marcel

doi:10.1016/j.jbankfin.2019.04.003

Cited by 6 publications

(5 citation statements)

References 79 publications

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“…option pricing model. Finally, as in Hollstein & Prokopczuk (2016) and Hollstein et al (2019), we use a trapezoidal rule to approximate the integrals V , W , and X and thus we obtain the (annualized) risk-neutral measures with corresponding maturity. For our analysis, we linearly interpolate the measures to obtain risk-neutral measures with maturity 91 days (3 months).…”

Section: -Year Reversalmentioning

confidence: 99%

Anomalies in Commodity Futures Markets

2021

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In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

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Section: -Year Reversalmentioning

confidence: 99%

Anomalies in Commodity Futures Markets

2021

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“…where IV 2 t and RV t are scaled to a monthly frequency. Baltussen et al (2018) introduced the volatility-of-volatility (VoV) as measure of risk aversion, subsequently employed in empirical analyses by Hollstein et al (2019) and Jeon et al (2020), among others. The volatility-of-volatility is computed as…”

Section: Risk Aversion Robustness Analysismentioning

confidence: 99%

On the Exchange Rate Dynamics of the Norwegian Krone

Risstad,

Thodesen,

Thune

et al. 2023

JRFM

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Global energy production is undergoing a transition from fossils to renewables. At the same time, the Norwegian Oil Fund has grown exponentially in size and is now a major global investor. These events in combination are likely to impact the dynamics of the Norwegian krone. Concurrently, the persistent weakening of the Norwegian krone (NOK), hitting record low exchange rates against the major currencies, is sparking national and international interest. Using updated data, we find that oil prices and global asset prices are both important drivers of EURNOK returns. However, we find that the relative importance changed following the 2015 oil price decline, whereafter asset prices became more significant. Furthermore, we observe an impact of investor risk aversion, suggesting that the krone is no longer a safe-haven currency.

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“…For example, Cao and Han (2016) study the relationship between extreme positive returns and expected weekly returns by defining MAX(5) as the average of the five highest daily returns in a rolling window of the previous 30 calendar days. Hollstein et al (2019) also use the average of the five highest daily returns during the previous year to predict the monthly returns. control for the influence of market beta (Beta).…”

Section: Construction Of Key Variablesmentioning

confidence: 99%