EconStor Community: Manchester Business School, The University of Manchester
http://hdl.handle.net/10419/50641
Manchester Business School, The University of Manchester2024-03-19T07:23:14ZHow does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
http://hdl.handle.net/10419/114465
Title: How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
Authors: Konstantinidi, Eirini; Skiadopoulos, George
Abstract: We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of the economy and of the trading activity, increase VRP. These relations hold both in- and out-of-sample for various maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the detected relations outperform popular buy-and-hold strategies even after transaction costs are considered.2014-01-01T00:00:00ZAn empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid
http://hdl.handle.net/10419/102379
Title: An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid
Authors: Berwart, Erik; Guidolin, Massimo; Milidonis, Andreas
Abstract: We investigate the lead-lag relationships between issuer- and investor-paid credit rating agencies, in the aftermath of the regulatory reforms undertaken in the U.S. between 2002 and 2006 - including watch list inclusions and outlooks. First, we find that the lead effect of investor-paid over issuer-paid credit rating agencies has weakened: in recent years, causality has turned bi-directional. Second, when changes in outlooks are included, we find evidence of a less conservative behavior by issuer-paid agencies, when compared to their rating behavior. Third, stock prices manifest statistically significant abnormal reactions to downgrades of all agencies; however, abnormal negative returns are significantly higher for investor-paid downgrades. Our results support the hypothesis that when issuer-paid agencies have seen their market power threatened by tighter regulations, they have felt incentives to improve the quality and timeliness of their ratings. However, event studies show that markets still price stocks under the assumption that investor-paid rating actions carry superior information.2013-01-01T00:00:00ZPlaying for high steaks: Market structure and purchaser-led sustainbaility initiatives in the UK beef sector
http://hdl.handle.net/10419/102386
Title: Playing for high steaks: Market structure and purchaser-led sustainbaility initiatives in the UK beef sector
Authors: Foster, Chris; Gee, Sally
Abstract: Large purchasers, or "focal organisations", exert considerable control over their value chains, particularly in the food sector. This paper draws on original qualitative research about the UK beef sector to explore how large purchasers are organising supply-chain eco-innovation. Livestock farming affects environmental sustainability in a number of ways and various initiatives aim to address these challenges. Through a 'fine-grained' analysis, focused on the organisational diversity of supply-chains within a single product group, we analyse how supply-chain structure conditions eco-innovative activity initiated by large purchasers. The paper extends the theory on buyer-driven commodity chains by considering how eco-innovation is influenced by the commercial importance of a product, as well as factors beyond the immediate supply-chain, such as government policy and consumer expectations. The paper concludes that although major retailers use their purchasing power to exert control over provision, they do not necessarily play a role in the governance of supply-chain eco-innovation.2013-01-01T00:00:00ZManaging portfolio risk using multivariate extreme value methods
http://hdl.handle.net/10419/102368
Title: Managing portfolio risk using multivariate extreme value methods
Authors: Hilal, Sawson; Poon, Ser-Huang; Tawn, Jonathan
Abstract: This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The core of the provided strategy is a statistical model for the joint tail distribution that attempts to capture accurately the data generating process through an extremal modelling for the univariate margins and the multivariate dependence structure. It takes into account the asymmetric behavior of extreme negative and positive returns, the heterogeneous temporal and cross-sectional lead-lag extremal dependencies among the portfolio constituents. The strategy facilitates scenario generation for future returns, estimation of portfolio profit-and-loss distribution and calculation of risk measures, and hence, enabling us to answer several questions of economic interest. We illustrate the usefulness of our proposal by an application to stock market returns for the G5 economies.2013-01-01T00:00:00Z