Options
Melk C. Bucher
Former Member
Last Name
Bucher
First name
Melk C.
Phone
+41 71 224 7036
Now showing
1 - 2 of 2
-
PublicationConditional Currency Hedging( 2016-07-02)This research proposes Conditional Currency Hedging based on FX risk factors to reduce total portfolio risk of given stock, bond or commodity portfolios. In our employed sample, a conditional currency hedging framework based on implied FX volatility results in lower variance of a global equity portfolio than achieved by either no, full or unconditional mean-variance hedging, both in- and out-of-sample. Further analysis with bond and commodity performance data will follow.
-
PublicationInvestor Attention and Sentiment: Risk or Anomaly?Are stocks' varying sensitivies to changing investor attention and sentiment priced? Employing internet search-based proxies for both, I find novel results that are consistent with theory. Stocks that co-vary negatively with increased investor attention to the stock market outperform in the following months in a behavior consistent with a risk premium. The pricing of co-variation with investor sentiment depends on aggregate mispricing (Baker-Wurgler index), behaving like a risk premium when mispricing is low and like an anomaly when mispricing is high. Sensitivity to both sentiment and attention is strongly related to idiosyncratic volatility and limits to arbitrage: High absolute attention/sentiment loadings are associated with higher volatility, smaller size and other limits to arbitrage. However, the priced attention and sentiment components are clearly distinct from the idiosyncratic risk puzzle and stay significant when controlling for relevant pricing factors and company characteristics. Investor attention is both very robust and highly powerful in pricing a broad variety of test assets. On the other hand, investor sentiment's effect on performance is strongly related to return reversal/momentum and does not add much information on its own.Type: working paperVolume: 2017/12Issue: 12