SSRN Author: Grigory VilkovGrigory Vilkov SSRN Content
http://www.ssrn.com/author=417015
http://www.ssrn.com/rss/en-usSat, 30 Jan 2016 02:26:31 GMTeditor@ssrn.com (Editor)Sat, 30 Jan 2016 02:26:31 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Why Do Equal-Weighted Portfolios Outperform Value-Weighted Portfolios?In this paper, we compare the performance of equal - and value-weighted portfolios formed from stocks in the large-, medium- and small-cap S&P indices. We find that the equal-weighted portfolio with monthly rebalancing outperforms the value-weighted portfolio in terms of total mean return, alpha, and Sharpe ratio. Decomposing the difference in total mean returns, we find that of the total excess mean return of 2.71% per annum earned by the equal-weighted portfolio over the value-weighted portfolio, only 58% comes from the excess systematic component, while 42% comes from the difference in alphas. As one might expect, the higher systematic return of the equal-weighted portfolio arises from its higher exposure to market, size, and value factors, which is determined by the equal initial weights. We demonstrate that the higher alpha of the equal-weighted portfolio, however, arises from the monthly rebalancing to maintain constant weights, and that choosing the constant weights to be ...
http://www.ssrn.com/abstract=2724535
http://www.ssrn.com/1465164.htmlFri, 29 Jan 2016 09:23:59 GMTREVISION: The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium AnalysisIn a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as constraints on stock positions, borrowing constraints, and the Tobin tax have similar effects on financial and macroeconomic variables. Borrowing limits and a financial transaction tax improve welfare because they substantially reduce speculative trading without impairing excessively risk-sharing trades.
http://www.ssrn.com/abstract=2721730
http://www.ssrn.com/1464577.htmlWed, 27 Jan 2016 13:56:33 GMTREVISION: The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium AnalysisIn a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as constraints on stock positions, borrowing constraints, and the Tobin tax have similar effects on financial and macroeconomic variables. Borrowing limits and a financial transaction tax improve welfare because they substantially reduce speculative trading without impairing excessively risk-sharing trades.
http://www.ssrn.com/abstract=2721730
http://www.ssrn.com/1463743.htmlMon, 25 Jan 2016 12:36:10 GMTNew: Non-Myopic BetasWe introduce non-myopic investors into the standard conditional Capital Asset Pricing Model. In equilibrium, the intertemporal hedging demand of non-myopic investors leads to a two-factor CAPM in which risk premiums are determined both by the market (myopic) beta and by the “non-myopic beta,” with respect to the future return on the mean-variance efficient portfolio. We identify this efficient portfolio non-parametrically as a solution to a fixed-point problem, and use it to estimate the non-myopic betas. We show that non-myopic betas are indeed priced in the cross-section of stock returns, and the relationship between expected returns and non-myopic betas is monotone increasing and economically significant. Using U.S. mutual fund data, we find that non-myopic betas of mutual fund returns are negatively related to their long-term Sharpe ratios, in agreement with theoretical predictions. In the presence of funding constraints, our model predicts that a low non-myopic beta is ...
http://www.ssrn.com/abstract=2694573
http://www.ssrn.com/1447903.htmlWed, 25 Nov 2015 14:15:41 GMTREVISION: Asymmetric Volatility Risk: Evidence from Option MarketsWe show how to extract the expected risk-neutral correlation between risk-neutral distributions of the market index (S&P 500) return and its expected volatility (VIX). Comparing the implied correlation with its realized counterpart reveals a significant index-to-volatility correlation risk premium. It compensates for the fear of enduring negative market returns and measures a new dimension of conditional risk not covered by other variables such as the variance risk premium or skewness. Incorporating information from both equity and volatility markets, it predicts future investment opportunities and (conditional as well as unconditional) risk.
http://www.ssrn.com/abstract=2325380
http://www.ssrn.com/1429130.htmlFri, 18 Sep 2015 04:54:43 GMTREVISION: Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid AssetsAlternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation. In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative risky asset, which is opaque and incurs transaction costs, and investors who differ in their experience in assessing the alternative asset. We find that the optimal asset-allocation strategy of the relatively inexperienced investors is to initially tilt their portfolio away from the alternative asset and to hold more of it with experience. Counterintuitively, a decrease in the transaction cost for the alternative asset increases the portfolio tilt at the initial date, and hence, the liquidity discount. Transaction costs may induce inexperienced investors to hold a majority of the illiquid asset at later dates, even if they are pessimistic about future payoffs, and produce a sizable liquidity ...
http://www.ssrn.com/abstract=2538381
http://www.ssrn.com/1373242.htmlThu, 12 Feb 2015 13:27:48 GMT