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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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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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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 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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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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