SSRN Author: Grigory VilkovGrigory Vilkov SSRN Content
http://www.ssrn.com/author=417015
http://www.ssrn.com/rss/en-usFri, 06 May 2016 03:13:26 GMTeditor@ssrn.com (Editor)Fri, 06 May 2016 03:13:26 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: 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. However, borrowing constraints and the Tobin tax are more successful than constraints on stock positions at improving welfare because they substantially reduce speculative trading without impairing excessively risk-sharing trades.
http://www.ssrn.com/abstract=2721730
http://www.ssrn.com/1493785.htmlThu, 05 May 2016 03:53:17 GMTREVISION: Option-Implied Correlations and the Price of Correlation RiskMotivated by extensive evidence that stock-return correlations are stochastic, we analyze whether the risk of correlation changes (affecting diversification benefits) is priced. We propose a direct and intuitive test by comparing option-implied correlations between stock returns (obtained by combining index option prices with prices of options on all index components) with realized correlations. Our parsimonious model shows that the substantial gap between average implied (39.5% for S&P500 and 46.0% for DJ30) and realized correlations (32.5% and 35.5%, respectively) is direct evidence of a large negative correlation risk premium. Empirical implementation of our model also indicates that the index variance risk premium can be attributed to the high price of correlation risk. Finally, we provide evidence that option-implied correlations have remarkable predictive power for future market returns, which also stays significant after controlling for a number of fundamental market return ...
http://www.ssrn.com/abstract=2166829
http://www.ssrn.com/1488849.htmlTue, 19 Apr 2016 08:56:05 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. However, borrowing constraints and the Tobin tax are more successful than constraints on stock positions at improving welfare because they substantially reduce speculative trading without impairing excessively risk-sharing trades.
http://www.ssrn.com/abstract=2721730
http://www.ssrn.com/1479210.htmlTue, 15 Mar 2016 13:33:37 GMTNew: 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 GMT