AFA 2011 Annual Meeting, Denver
Predictability in the Cross-Section:
Rare Disasters in Heterogeneously Connected
Networks
Andrea Buraschi
Imperial College London
joint work with P. Porchia and F. Trojani
A case for rare events in Asset Pricing: Disasters
AFA 2011 Annual Meeting, Denver
Predictability in the Cross-Section:
Rare Disasters in Heterogeneously Connected
Networks
Andrea Buraschi
Imperial College London
joint work with P. Porchia and F. Trojani
A case for rare events in Asset Pricing: Disasters
Advances in Return Predictability
Andrea Buraschi
Paul Whelan
Imperial College
Imperial College
Ecient Market Hypothesis
Bachelier (1900): behaviour of prices is such that speculation should be a fair game;
stock prices follow a random walk.
Samuelson (19
Asset Pricing with Heterogeneous Beliefs
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Heterogeneous Beliefs
Heterogeneous Beliefs
1. Motivation
2. Simple heterogeneous agent model
3. Information structure and investors beliefs
Fixed Income Predictability
Andrea Buraschi & Paul Whelan
Imperial College Business School
March 2011
Andrea Buraschi & Paul Whelan
The Term Structure of Interest Rates
The quest for understanding what moves bond yields has produced an enormous literature
Model Uncertainty and Asset Pricing with
Robustness
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Asset Pricing with Model Uncertainty
Uncertainty and Robustness
Uncertainty and Robustness: In this part of the course, we explor
The Puzzles
Topics in Asset Pricing
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Introduction Lecture
Course Objectives
A. Buraschi
Introduction Lecture
Course Objectives
A. Buraschi
Introduction Lecture
The Benchmark Model: T
Fama-MacBeth 1973: Replication and Extension
Serginio Sylvain
Graduate School of Economics
University of Chicago
Chicago, IL 60615, USA
October 11, 2013
Abstract
I reproduce the results of Fama and MacBeth (1973) and extend this paper in
several ways. Fi
Advances in Return Predictability: Appendix
Andrea Buraschi
Paul Whelan
Imperial College
Imperial College
Lettau and Ludvigson (2005)
Let us now look at Lettau and Ludvigson, 2005 (LL05 hence).
Some recent empirical ndings:
dt pt does not forecast dividen
Introduction
Optimality and Asset Pricing
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Introduction Lecture
The Euler Equation
Take an economy where price is given with respect to the numraire, which is
e
our consumption good.
Lucas Tree Economy
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Lucas Tree Economy
Benchmark Lucas economy
Representative investors preferences: Given investment horizon
[t, T ],
T
V (t ) = Et
e (s t ) u (C (s )ds
;
T [0, ]
t
Expected Returns in the Cross Section
Andrea Buraschi and Andrea Carnelli
Spring 2011
Andrea Buraschi and Andrea Carnelli
Expected Returns in the Cross Section
Introduction and Outline
In the rst two lectures we have reviewed the key econometric
technique
The Cross-Section of Expected Stock Returns: Learning
about Distress and Predictability in Heterogeneous
Orchards
Andrea Buraschi
Imperial College London
Paolo Porchia
IE Business School, Madrid
Fabio Trojani
University of Lugano
Email addresses. Andrea B
The Cross-Section of Expected Stock Returns: Learning
about Distress and Predictability in Heterogeneous
Orchards
Andrea Buraschi
Imperial College London
Paolo Porchia
IE Business School, Madrid
Fabio Trojani
University of Lugano
This draft: October 2010.
Long Run Risk
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Long Run Risk
References
On Long Run Risk
Bansal, Ravi, Robert F. Dittmar, and Kiku, Cointegration and Consumption Risks in Asset Return, Review
of Financial Studies,
When Uncertainty Blows in the Orchard:
Comovement & Equilibrium Volatility Risk
Premia
Andrea Buraschi
Fabio Trojani
Andrea Vedolin
Imperial College London
University of Lugano
London School of Economics
c
(2010) Buraschi, Trojani, Vedolin 1
Motivation
Asset Pricing with Uncertainty and Learning
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Uncertainty and Learning
Risk and Uncertainty
Risk
: Given a description of the state-space, the value we are willing to
pay to be insure
When Uncertainty Blows in the Orchard: Comovement
and Equilibrium Volatility Risk Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
In a Lucas economy, in which heterogeneity in beliefs is a priced equilibrium risk factor, we motivate a
nu
When Uncertainty Blows in the Orchard:
Comovement and Equilibrium Volatility Risk
Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, dierence
When Uncertainty Blows in the Orchard: Comovement
and Equilibrium Volatility Risk Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
In a multiple-trees Lucas economy with heterogeneous beliefs, we study the link between market-wide
uncerta
Correlation Risk and the Term Structure of
Interest Rates
Andrea Buraschi, Anna Cieslak and Fabio Trojani
ABSTRACT
We study the implications of a term structure model that grants a new element of exibility in the joint
modeling of market prices of risk an
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Using a structural credit risk model with heterogeneous beliefs, this paper derives testable implications for the role of
common and rm speci
Online Appendix: When Uncertainty Blows in The
Orchard
Not For Publication
This Appendix is divided into four sub-appendices. The rst section gives additional explanation to data sources
and construction. Section 2 presents some technical proofs which hav
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Using an economy populated with agents with heterogeneous beliefs this paper delivers important implications for the
role of common and rm sp
Online Appendix: When Uncertainty Blows in The
Orchard
Not For Publication
This Appendix is divided into four sub-appendices. The rst section gives additional explanation to data sources
and construction. Section 2 presents some technical proofs which hav
When Uncertainty Blows in the Orchard:
Comovement and Volatility Risk Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Writers of index options earn high returns due to a signicant and high volatility risk premium, but writers of options
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Traditional structural models with additive preferences calibrated to historical default and recovery rates generate
corporate bond spreads t
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Uncertainty surges when the growth rate of future expected cash ows is more volatile, like in recessions or
during periods of nancial crises.