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Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Amia Santini (Autor)

Buch | Softcover

VII, 77 Seiten

2022 | 1st ed. 2022
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-37449-5 (ISBN)

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The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces theimportance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.

lt;b>Amia Santini is a PhD student in statistics at the University of Bologna (Italy). Her work focusses on the field of green finance.

1 Abstract.- 2 Introduction.- 3 Chapter I: Literature on the subject of excess volatility.- 4 Chapter II: Excess volatility beyond discount rates.- 5 Chapter III: Evidence of excess volatility in the Eurozone market.- 6 Conclusions.

Erscheinungsdatum	06.05.2022
Reihe/Serie	BestMasters
Zusatzinfo	VII, 77 p.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Gewicht	126 g
Themenwelt	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	Derivatives • Eurozone • excess volatility • natural expectations • Rational Expectations • Risk-neutral measure
ISBN-10	3-658-37449-7 / 3658374497
ISBN-13	978-3-658-37449-5 / 9783658374495
Zustand	Neuware