Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/10045/133742
Título: | Market-wide illiquidity and the distribution of non-parametric stochastic discount factors |
---|---|
Autor/es: | Abad, David | Nieto, Belén | Pascual, Roberto | Rubio Irigoyen, Gonzalo |
Grupo/s de investigación o GITE: | Finanzas de Mercado y Econometría Financiera |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Economía Financiera y Contabilidad |
Palabras clave: | Market-wide illiquidity | Non-parametric stochastic discount factor | Volatility, skewness, and kurtosis of the model-free stochastic discount factor, market realized volatility | High dimensional data estimation |
Fecha de publicación: | 3-abr-2023 |
Editor: | Elsevier |
Cita bibliográfica: | International Review of Financial Analysis. 2023, 87: 102650. https://doi.org/10.1016/j.irfa.2023.102650 |
Resumen: | Employing out-of-sample non-parametric estimation techniques, we show that market-wide liquidity risk matters for asset pricing independently of the specific functional form of the stochastic discount factor (SDF) and, therefore, of the asset pricing model specification. Market-wide illiquidity significantly affects the distribution of the SDF. Specifically, it boosts up the volatility of the SDF, causing minor effects on higher moments of its distribution. This finding is robust to the use of different sets of test assets in the estimation of the SDF, including equity and corporate bond portfolios, and the use of a high-dimensional data estimation procedure. |
Patrocinador/es: | Authors acknowledge the research grant PRPPID2021-125317NB-I00, funded by MCIN/AEI /10.13039/501100011033/ and “ERDF A way of making Europe “. They also acknowledge the financial support from Generalitat Valencia Grant Prometeo/2017/158. Moreover, they recognize the support from projects ECO2017-86903-P (Abad and Pascual), ECO2017-87069-P (Abad), and PGC2018-095072-B-I00 (Nieto and Rubio) from the Ministerio de Ciencia, Innovación y Universidades. |
URI: | http://hdl.handle.net/10045/133742 |
ISSN: | 1057-5219 (Print) | 1873-8079 (Online) |
DOI: | 10.1016/j.irfa.2023.102650 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © 2023 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/). |
Revisión científica: | si |
Versión del editor: | https://doi.org/10.1016/j.irfa.2023.102650 |
Aparece en las colecciones: | INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
---|---|---|---|---|
Abad_etal_2023_IntRevFinancialAnal.pdf | 2,03 MB | Adobe PDF | Abrir Vista previa | |
Este ítem está licenciado bajo Licencia Creative Commons