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Florian Weigert
Former Member
Title
Prof. Dr.
Last Name
Weigert
First name
Florian
Phone
+41 71 224 7014
Now showing
1 - 6 of 6
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PublicationA Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options( 2024-02-16)We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option return momentum, and jump risk emerging as the most likely included factors. Noteworthy, we find that (i) our results remain largely robust after controlling for transaction costs and (ii) characteristics linked to behavioral biases gain in importance for options with high retail trading volume.Type: working paper
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PublicationDo Mutual Funds Ourtperform During Recessions? International (Counter-) EvidenceGlode (2011) shows, both theoretically and empirically, that U.S. equity mutual funds have a systematically better performance during periods of economic downturn and that investors are willing to pay higher fund fees for this recession insurance. In this paper, we test these hypotheses out-of-sample using international mutual fund data from 16 different countries. Surprisingly, we cannot confirm that mutual funds outperform during recessions and do not find that funds with high recession alphas can charge higher fees to Investors. Hence, our study raises doubts about the validity of Glode (2011)'s model and looks for alternative explanations of mutual fund's state-specific performance and optimal fee-setting.
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PublicationExtreme Downside Liquidity RiskWe merge the literature on downside return risk with that on systematic liquidity risk and introduce the concept of extreme downside liquidity (EDL) risk. We show that the cross-section of expected stock returns reflects a premium for EDL risk. Strong EDL risk stocks deliver a positive risk premium of more than 4% p.a. as compared to weak EDL risk stocks. The effect is more pronounced after the market crash of 1987. It is not driven by linear liquidity risk or by extreme downside return risk, and it cannot be explained by other firm characteristics or other systematic risk factors.