Essays about: "Philip Hamnå"

Found 2 essays containing the words Philip Hamnå.

1. 1. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Philip Hamnå; Federico Valenza; [2017]
   Keywords : Macroeconomic uncertainty; Bond risk premia; Countercyclical; Semi-variance;

   Abstract : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. READ MORE

3. 2. The Cross-Section of Stocks and Options - Informed Trading & Volatility Mispricing

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Philip Hamnå; Caroline Holtsjö; [2015]
   Keywords : Informed trading; Implied volatility; Realized volatility; Abnormal return; Cross-section;

   Abstract : We examine the cross-section of stocks and options to confirm recent findings that past abnormal stock return predicts an increase in implied volatility and a decrease in realized volatility. In our extended empirical analysis we present new evidence indicating that future implied volatility is positively related to decreases in stock trading activity and negatively related to stock illiquidity. READ MORE