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Conferences

Session VIII-1 Asset Pricing (18/12/2009 à 15h30)

J.P. Laurent

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Auteurs : Yacine Aït-Sahalia (Bendheim Center for Finance, Princeton University and NBER); Jean Jacod (Institut de Mathématiques de Jussieu, Université P. et M. Curie)

!!Email!! : yacine@Princeton.EDU

Intervenants : Yacine Aït-Sahalia (Bendheim Center for Finance, Princeton University and NBER)

Rapporteurs : Semyon Malamud (EPF Lausanne and Swiss Finance Institute)

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the degree of activity of the jumps.

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Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Auteurs : Jaksa Cvitanic (Caltech, Division of Humanities and Social Sciences); Semyon Malamud (EPF Lausanne and Swiss Finance Institute)

!!Email!! : semyon.malamud@epfl.ch

Intervenants : Semyon Malamud (EPF Lausanne and Swiss Finance Institute)

Rapporteurs : Christian Heyerdahl-Larsen

We study the market price of risk, the stock volatility and the hedging behavior in equilibrium of heterogeneous agents with arbitrary utility functions, consuming only at the end of the time horizon, and with the state variable following an arbitrary homogeneous diffusion process. We introduce a new notion that we call the "rate of macroeconomic fluctuations", and show hat, in equilibrium, all the quantities and strategies can be characterized in terms of the dividend volatility and the interest rate volatility discounted at this rate. We also show that both the optimal portfolio strategies and the stock price volatility can be decomposed into a myopic and a non-myopic component. The market price of risk, the myopic volatility and the myopic portfolio are determined by the present market value of future discounted volatilities of the dividend and of the interest rate. By contrast, the non-myopic volatility and non-myopic portfolio are given in terms of covariances of equilibrium quantities with the discounted dividend volatility. These representations enable us to show that, under natural cyclicality conditions, the non-myopic volatility is always positive, and the non-myopic portfolio is positive for an agent if and only if the product of his prudence and risk tolerance is less than the same product corresponding to the log agent.

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The Price of Asymmetric Dependence

Auteurs : Jamie Alcock (Department of Land Economy, Cambridge University and UQ Business School, University of Queensland); Anthony Hatherley (UQ Business School, University of Queensland)

!!Email!! : a.hatherley@business.uq.edu.au

Intervenants : Anthony Hatherley (UQ Business School, University of Queensland)

Rapporteurs : Jean-Paul Laurent

We investigate whether asymmetric dependence (AD) is priced in US equities. Using a ß and idiosyncratic risk invariant measure of AD, we find that AD is as important as linear dependence in explaining the variation in returns. In particular, we find a significant positive (negative) relationship between lower (upper) tail dependence and returns. This result holds after controlling for size, robust ß, downside ß, coskewness and cokurtosis. We also find past AD is a significant variable in predicting future returns for small firms. However neither AD nor linear dependence predict the future returns of large firms. Our results suggest that there are multiple dimensions to systematic risk.

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