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The quality premium with leverage and liquidity constraints
(Elsevier, 2021)
info:eu-repo/semantics/article,
This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance ...
Guarantee requirements by European central counterparties and international volatility spillovers
(JAI Press, 2022)
Artículo / Artikulua,
This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and ...
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
(Routledge, 2020)
info:eu-repo/semantics/article,
This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the ...