The ratio of gold to platinum prices (GP) reveals persistent variation in risk and proxies for an important economic state variable. GP predicts future stock returns in the time series, explains ...stock return variation in the cross-section, and is significantly correlated with option-implied tail risk measures. Contrary to conventional wisdom, gold prices fall in recessions, albeit by less than platinum prices. A model featuring recursive preferences, time-varying tail risk, and preference shocks for gold and platinum can account for asset pricing dynamics of equity, gold, and platinum markets, rationalize the return predictability, and explain why gold prices fall in bad times.
Volatility-of-Volatility Risk Huang, Darien; Schlag, Christian; Shaliastovich, Ivan ...
Journal of financial and quantitative analysis,
12/2019, Letnik:
54, Številka:
6
Journal Article
Recenzirano
Odprti dostop
We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility ...indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other. Delta-hedged index and VIX option returns are negative on average and are more negative for strategies that are more exposed to volatility and volatility-of-volatility risks. Further, volatility and volatility of volatility significantly negatively predict future delta-hedged option payoffs. The evidence suggests that volatility and volatility-of-volatility risks are jointly priced and have negative market prices of risk.
In the first chapter “Gold, Platinum, and Expected Stock Returns”, I show that the ratio of gold to platinum prices (GP) reveals variation in risk and proxies for an important economic state ...variable. GP predicts future stock returns in the time-series and explains variation in average stock returns in the cross-section. GP outperforms existing predictors and similar patterns are found in international markets. GP is persistent and significantly correlated with option-implied tail risk measures. An equilibrium model featuring recursive preferences, time-varying tail risk, and shocks to preferences for gold and platinum can account for the asset pricing dynamics of equity, gold, and platinum markets, and quantitatively explain the return predictability. In the second chapter “Risk Adjustment and the Temporal Resolution of Uncertainty: Evidence from Options Markets”, we examine risk-neutral probabilities, which are observable from option prices and combine objective probabilities and risk adjustments across economic states. We consider a recursive-utility framework to separately identify objective probabilities and risk adjustments using only observed market prices. We find that a preference for early resolution of uncertainty is important in explaining the cross-section of risk-neutral and objective probabilities in the data. Failure to incorporate a preference for the timing of the resolution of uncertainty (e.g., expected utility models) can significantly overstate the implied probability of, and understate risk compensations for, adverse economic states. In the third chapter “Volatility-of-Volatility Risk”, we show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility movements are identified from index and VIX option prices, and correspond to the VIX and VVIX indices in the data. Delta-hedged returns for index and VIX options are negative on average, and more negative for strategies more exposed to volatility and volatility-of-volatility risks. In the time-series, volatility and volatility of volatility significantly predict delta-hedged returns with a negative sign. The evidence is consistent with a no-arbitrage model featuring time-varying volatility and volatility-of-volatility factors which are negatively priced by investors.
Volatility-of-volatility risk Huang, Darien; Schlag, Christian; Shaliastovich, Ivan ...
IDEAS Working Paper Series from RePEc,
01/2018
Paper
Odprti dostop
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. ...Volatility and volatility-of-volatility measures, identified modelfree from the option price data as the VIX and VVIX indices, respectively, are only weakly related to each other. Delta-hedged index and VIX option returns are negative on average, and are more negative for strategies which are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly and negatively predict future delta-hedged option payoffs. The evidence is consistent with a no-arbitrage model featuring time-varying market volatility and volatility-of-volatility factors, both of which have negative market price of risk.
The conventional wisdom up until the crisis was that efficient financial systems required privately owned banks and financial institutions. The events since 2007 have shown that financial systems ...such as China's, where banks are government owned but are also publicly listed can have a significant advantages in terms of financial stability. In this paper we investigate the initial public offering (IPO) of the Industrial and Commercial Bank of China (ICBC). At the time it took place, the ICBC IPO was the largest ever. The firm was the first to be listed simultaneously in Hong Kong and Shanghai. This paper gives the background of the industry at the time, considers the way the IPO was conducted and provides a valuation. The IPO provides an interesting example of how the Chinese government has improved the governance of its financial institutions, while at the same time maintaining a majority ownership position in the company.
The advent of induced pluripotent stem cells (iPSCs) has advanced our understanding of the molecular mechanisms of human disease, drug discovery, and regenerative medicine. As such, the use of iPSCs ...in drug development and validation has shown a sharp increase in the past 15 years. Furthermore, many labs have been successful in reproducing many disease phenotypes, often difficult or impossible to capture, in commonly used cell lines or animal models. However, there still remain limitations such as the variability between iPSC lines as well as their maturity. Here, we aim to discuss the strategies in generating iPSC-derived cardiomyocytes and neurons for use in disease modeling, drug development and their use in cell therapy.
In this study, we establish a population-based human induced pluripotent stem cell (hiPSC) drug screening platform for toxicity assessment. After recruiting 1,000 healthy donors and screening for ...high-frequency human leukocyte antigen (HLA) haplotypes, we identify 13 HLA-homozygous “super donors” to represent the population. These “super donors” are also expected to represent at least 477,611,135 of the global population. By differentiating these representative hiPSCs into cardiomyocytes and neurons we show their utility in a high-throughput toxicity screen. To validate hit compounds, we demonstrate dose-dependent toxicity of the hit compounds and assess functional modulation. We also show reproducible in vivo drug toxicity results using mouse models with select hit compounds. This study shows the feasibility of using a population-based hiPSC drug screening platform to assess cytotoxicity, which can be used as an innovative tool to study inter-population differences in drug toxicity and adverse drug reactions in drug discovery applications.
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•Development of a population-based iPSC cell bank•Cell bank covers more than 477 million people worldwide based on HLA-A, HLA-B, and DRB1•Population-based toxicity screen of iPSC-derived cardiomyocytes and neurons
Huang et al. use human leukocyte antigen as a genetic marker to identify representative donors that genetically represent the population of Taiwan. Their iPSCs are differentiated into cardiomyocytes and neurons to perform a population-based drug toxicity screen of compounds approved worldwide.
Atrial fibrillation is the most common heart disease in the world, with around 35 million patients in 2020. Here we reported the generation of IBMS-iPSC-015-06, IBMS-iPSC-016-06, and IBMS-iPSC-017-02 ...as human induced pluripotent stem cell (iPSC) lines from patients’ peripheral blood mononuclear cells (PBMCs) with atrial fibrillation. The cell lines expressed properties of pluripotent stem cells, including pluripotent markers and the ability to differentiate into three germ layers. These cell lines served as suitable models for studying alternative therapies of atrial fibrillation.
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