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hmathien
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Joined: September 13th, 2013, 8:59 am

Books/Research on Hidden Assets

September 16th, 2013, 10:26 am

Hi everyone,I am writing my master thesis on "how to monetize the risk premium of hidden assets". I intend to show the similarities between the dynamics of volatility/dividend/correlation and provide concrete example of systematic strategies to capture their risk premia. By risk premia, I mean quasi-orthogonal exposure to hidden assets (via varswap/vix future, dividend future, dispersion trade), so "low vol" or "high div" indices as well as "well diversified portfolio" don't fall under the scope.Most of the litterature I have found is very fragmented as the three are studied independently and the emphasis is placed on volatility (I have found a few about correlation and almost nothing about dividend investing). And I am struggling to find something with a "risk premia" approach, showing genuine strategy backtesting.If you have any paper in mind, please share !Thanks
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Books/Research on Hidden Assets

September 16th, 2013, 1:39 pm

Re vol risk premium `capture': your best bet is probably various CBOE indices. Some of these will show how shorting vol is sometimes a recipe for getting killed.The difficulty/time horizon for a successful capture may be much harder/longer than you suspect.
Last edited by Alan on September 15th, 2013, 10:00 pm, edited 1 time in total.
 
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acastaldo
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Joined: October 11th, 2002, 11:24 pm

Books/Research on Hidden Assets

September 16th, 2013, 5:54 pm

(0) The idea is interesting although "hidden assets" seems a strange term(1) The CBOE indices Alan is talking about include BXM, PUT and others described here http://www.cboe.com/micro/TAXONOMY_WP-web.pdf(2) On dividend strategies you are perhaps familiar with Binsbergen, Brandt, and Koijen (2011) which is in a pile of papers on my desktop that I haven't gotten to yet.(3) As a friend of mine once joked "excellent, now that you have told me about these premiums, where do I go to sign up to start receiving them?"
 
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chocolatemoney
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Joined: October 8th, 2008, 6:50 am

Books/Research on Hidden Assets

September 25th, 2013, 6:31 am

QuoteOriginally posted by: acastaldo(0) The idea is interesting although "hidden assets" seems a strange term"Hidden assets" already has a clear financial meaning and use. This choice of terminology in this context may be improper.
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