Joost Driessen
YOU?
Author Swipe
Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets Open
We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the $ \Pi $-CAPM—generates several new predictions:…
Horizon Effects in the Pricing Kernel: How Investors Price Short-Term Versus Long-Term Risks Open
We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel and decompose long-term pricing kernels into short…
The Cross-Section of Stock Returns Around the World in the Early Twentieth Century Open
We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of some major asset pricing anomalies during a period in which anomalies had not been documented. We find strong evidence of momentum in almost every marke…
JFQ volume 56 Issue 2 Cover and Front matter Open
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
Option-Implied Correlations and the Price of Correlation Risk Open
Link to the paper: http://dx.doi.org/10.2139/ssrn.2166829 The data contains option-implied and realized equicorrelation (IC and RC) estimates for S&P500 components from 1996 to 12/2019. We propose a direct and intuitive test by comparing o…
Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds Open
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the different…
Are Stock and Corporate Bond Markets Integrated Open
This study explores the cross-sectional integration of stock and corporate bond markets by comparing a firm’s expected stock return, as implied by corporate bond spreads, to its realized stock return. We compute expected corporate bond ret…
Who Is Afraid of Liquidity Risk Open
Recent empirical work documents large liquidity risk premiums in stock markets. We calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRR…