Asset pricing

• Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

  Staff Working Paper 2015-13 Michael Ehrmann, Marcel Fratzscher

  The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates, International financial markets JEL Code(s): E, E5, F, F3, G, G1, G15

• Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

  Staff Working Paper 2015-12 Jean-Sébastien Fontaine, René Garcia, Sermin Gungor

  Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): E, E4, E43, H, H1, H12

• Fourier Inversion Formulas for Multiple-Asset Option Pricing

  Staff Working Paper 2015-11 Bruno Feunou, Ernest Tafolong

  Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing JEL Code(s): G, G1, G12

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

• What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

  Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios

  Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43

• Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets

  Staff Working Paper 2014-18 Giovanni Giusti, Janet Hua Jiang, Yiping Xu

  We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10

• Bond Risk Premia and Gaussian Term Structure Models

  Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine

  Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12

• It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match

  Staff Working Paper 2014-2 Michael Ehrmann, David-Jan Jansen

  The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G02, G1, G12, G14, G15

• Booms and Busts in House Prices Explained by Constraints in Housing Supply

  Staff Working Paper 2013-18 Narayan Bulusu, Jefferson Duarte, Carles Vergara-Alert

  We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models JEL Code(s): R, R3, R31

• Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

  Staff Working Paper 2013-16 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12