Applying the General Pricing Framework

2015 ◽  
pp. 235-249
Author(s):  
Carl Chiarella ◽  
Xue-Zhong He ◽  
Christina Sklibosios Nikitopoulos
Keyword(s):  
Pricing Framework

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework

scholarly journals Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1732
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Exchange Rate ◽  
Asset Pricing ◽  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
Downside Risk ◽  
Total Risk ◽  
Pricing Framework

This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and exchange rate have significant impacts on oil and gas stock returns, but effects are heterogeneous depending on an individual stock. The two-stage cross-section estimations provide new insights about investors’ risk-return trade-off when facing downside risks. The results show that downside risk exposures to market, momentum, oil, and exchange rate factors are negatively priced in the Malaysian oil and gas stocks. This implies that investors are penalized for their downside exposure to these risk factors, and such inference is consistent with the risk preference explanation of prospect theory. Liquefied natural gas (LNG) is the only risk factor found to be positively priced in the returns of oil and gas stocks. Additionally, we find a negative relationship between LNG factor and total risk. This suggests that as the risk exposure to LNG increases, the total risk decreases, implying that the LNG risk factor is an idiosyncratic risk and not a systematic risk factor. Such interpretation is consistent with the correlation result, which shows no association between LNG and the market risk factor.

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