Can Gao
Title
Prof. Dr. Dr.
Last Name
Gao
First name
Can
Email
can.gao@unisg.ch
SSRN
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=3341334
9 results
Now showing 1 - 9 of 9
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Item type:Publication, Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment(2021-11-05); Ian MartinWe define a sentiment indicator based on option prices, valuation ratios, and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive to be happy to hold the market. The bound was unusually high in the late 1990s, reflecting dividend growth expectations that in our view were unreasonably optimistic. Our approach exploits two key ingredients. First, we derive a new valuation ratio decomposition that is related to the Campbell–Shiller loglinearization but that resembles the Gordon growth model more closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market's expected log return.Type:journal articleJournal:Journal of FinanceVolume:76Issue:6Scopus© Citations 37 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, On global regularity for systems of nonlinear wave equations with the null-condition(2015); Joachim KriegerType:journal articleJournal:Dynamics of Partial Differential EquationsVolume:12Issue:2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Optimal polynomial blow up range for critical wave maps(2015); Joachim KriegerType:journal articleJournal:Communications on Pure & Applied AnalysisVolume:14Issue:5Scopus© Citations 18 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Generalized dressing method for the extended two-dimensional Toda lattice hierarchy and its reductions(2010)Scopus© Citations 5 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Survey Expectations Meet Option Prices: New Insights from the FX Market *(2024-09-27); Jeanneret, AlexandraWe reconcile two sources of forward-looking expectations for currency returns: consensus forecasts from major financial intermediaries and over-the-counter currency option prices. To connect these expectations, we adopt a broad framework based on no-arbitrage conditions and motivated by various benchmark asset pricing models. Using more than twenty years of data on a large cross-section of currency pairs with maturities of up to two years, we find that the average value of general risk preferences is between 3 and 4. The general risk preferences, moreover, display an upward-sloping term structure in ‘good times’ and a downward-sloping term structure during ‘bad times’.Type:conference contribution - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Debt and Deficit: Fiscal Analysis with Stationary Ratios(2023-05-03); Ian MartinWe study cointegrating relationships among fiscal variables and output and use them to introduce a new measure of the government's fiscal position. In the US since World War II, we find that the primary surplus-GDP ratio and the government debt-GDP ratio are nonstationary, which invalidates standard analytical approaches that assume them to be stationary. The tax revenue-debt ratio and the government expenditure-debt ratio are also nonstationary but their difference, the primary surplus-debt ratio, is stationary, as is the tax revenue-GDP ratio. We develop a new framework for fiscal analysis that takes account of these facts. Empirically, we find that a deterioration in the fiscal position forecasts a decline in government spending over the long run. It does not forecast increases in tax revenue; nor does it forecast low returns for bondholders. Fiscal adjustment to tax and expenditure shocks occurs primarily through mean-reversion in tax and expenditure growth, with a negligible contribution from expected and unexpected debt returns. We find similar results for postwar UK data.Type:discussion paperJournal:CEPR discussion paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment(2019-01-15); Ian MartinWe define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually high during the late 1990s, reflecting dividend growth expectations that in our view were unreasonably optimistic. We interpret it as helping to reveal irrational beliefs about fundamentals. We show that our measure is a leading indicator of detrended volume, and of various other measures associated with financial fragility. We also make two methodological contributions. First, we derive a new valuation-ratio decomposition that is related to the Campbell and Shiller (1988) loglinearization, but which resembles the traditional Gordon growth model more closely and has certain other advantages for our purposes. Second, we introduce a volatility index that provides a lower bound on the market's expected log return.Type:discussion paperJournal:CEPR discussion paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Debt and Deficit: Fiscal Analysis with Stationary Ratios(2023-05); Ian W.R. MartinWe study cointegrating relationships among fiscal variables and output and use them to introduce a new measure of the government's fiscal position. In the US since World War II, we find that the primary surplus-GDP ratio and the government debt-GDP ratio are nonstationary, which invalidates standard analytical approaches that assume them to be stationary. The tax revenue-debt ratio and the government expenditure-debt ratio are also nonstationary but their difference, the primary surplus-debt ratio, is stationary, as is the tax revenue-GDP ratio. We develop a new framework for fiscal analysis that takes account of these facts. Empirically, we find that a deterioration in the fiscal position forecasts a decline in government spending over the long run. It does not forecast increases in tax revenue; nor does it forecast low returns for bondholders. Fiscal adjustment to tax and expenditure shocks occurs primarily through mean-reversion in tax and expenditure growth, with a negligible contribution from expected and unexpected debt returns. We find similar results for postwar UK data.Type:working paperJournal:NBER working paperDOI:10.3386/w31224 - Some of the metrics are blocked by yourconsent settings
Item type:Research Project, Hiding in plain sight: preferred habitat effects in short-term rates *(2024-11-06); ;