Auflistung LIF-SAFE Working Papers nach Autor "Schlag, Christian"
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Commodities, Financialization, and Heterogeneous Agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian (2016-04-28)The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ... -
Equilibrium Asset Pricing in Directed Networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (2018-10-16)Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ... -
Horizontal Industry Relationships and Return Predictability
Schlag, Christian; Zeng, Kailin (2019-08-09)It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)). We show that robust predictability also arises ... -
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger (2020-01-27)We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ... -
Level and Slope of Volatility Smiles in Long-Run Risk Models
Branger, Nicole; Rodrigues, Paulo; Schlag, Christian (2017-10-16)We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ... -
Momentum-managed equity factors
Flögel, Volker; Schlag, Christian; Zunft, Claudia (2019-07-22)Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ... -
"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
Branger, Nicole; Schlag, Christian; Wu, Lue (2015-07-31)In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ... -
Optimists and Pessimists in (In)Complete Markets
Branger, Nicole; Konermann, Patrick; Schlag, Christian (2019-06-06)We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ... -
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
Schlag, Christian; Semenischev, Michael; Thimme, Julian (2021-01-22)"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ... -
Temperature Shocks and Welfare Costs
Donadelli, Michael; Jüppner, Marcus; Riedel, Max; Schlag, Christian (2018-01-22)This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor ... -
The Collateralizability Premium
Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian (2019-10-09)A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium, that is, capital ... -
Volatility-of-Volatility Risk
Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; Thimme, Julian (2018-05-01)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 ...