WorldCat Identities

Cotter, John

Overview
Works: 35 works in 43 publications in 1 language and 43 library holdings
Roles: Author
Publication Timeline
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Most widely held works about John Cotter
 
Most widely held works by John Cotter
Macro-financial spillovers by John Cotter( )

2 editions published in 2020 in English and held by 2 WorldCat member libraries worldwide

Scaling conditional tail probability and quantile estimators by John Cotter( )

2 editions published in 2010 in English and held by 2 WorldCat member libraries worldwide

We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns
Time varying risk aversion : an application to energy hedging by John Cotter( )

2 editions published in 2010 in English and held by 2 WorldCat member libraries worldwide

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison. -- Energy ; Hedging ; Risk Management ; Risk Aversion ; Forecasting
Hedging : scaling and the investor horizon by John Cotter( )

2 editions published in 2010 in English and held by 2 WorldCat member libraries worldwide

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our findings show that the volatility and covariance dynamics may differ considerably depending on the hedging horizon and this gives rise to significant differences between short term and longer term hedges. Despite this, scaling provides good hedging outcomes in terms of risk reduction which are comparable to those based on direct estimation. -- Hedging Effectiveness ; Scaling ; Volatility Modelling ; Forecasting
The Last Chance Saloon by John Cotter( )

1 edition published in 2020 in English and held by 2 WorldCat member libraries worldwide

Nowhere to run, nowhere to hide asset diversification in a flat world by John Cotter( )

2 editions published between 2016 and 2019 in English and held by 2 WorldCat member libraries worldwide

What should be done about the underfunding of defined benefit pension schemes? by John Cotter( )

2 editions published between 2012 and 2014 in English and held by 2 WorldCat member libraries worldwide

Housing risk and return : evidence from a housing asset-pricing model by Karl E Case( )

2 editions published in 2010 in English and held by 2 WorldCat member libraries worldwide

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset pricing model (H-CAPM), whereby expected returns of metropolitan-specific housing markets are equated to the market return, as represented by aggregate US house price time-series. We augment the model by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum, and Metropolitan Statistical Area (MSA) size effects. Further, we test the robustness of H-CAPM results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. Consistent with the traditional CAPM, we find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show that market betas have varied substantially over time. Also, we find the basic housing CAPM results are robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller behavioral research indicating the importance of speculative forces in the determination of U.S. housing returns. -- asset pricing ; house price returns ; risk factors
A comparative anatomy of REITs and residential real estate indexes : returns, risks and distributional characteristics by John Cotter( )

2 editions published in 2010 in English and held by 2 WorldCat member libraries worldwide

Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal components reveals several strong factors. REIT characteristics differ to some extent from those of the S&P/Case-Shiller (SCS) residential real estate indexes. This is partly attributable to methods of index construction. Our examination of REITs suggests that investment in real estate is far more risky than what might be inferred from the widely-followed SCS series
Financial risks and the pension protection fund : can it survive them?( )

1 edition published in 2007 in English and held by 1 WorldCat member library worldwide

Commodity futures hedging, risk aversion and the hedging horizon by Thomas Conlon( )

1 edition published in 2012 in English and held by 1 WorldCat member library worldwide

Co-skewness across return horizons by Thomas Conlon( )

1 edition published in 2019 in English and held by 1 WorldCat member library worldwide

Performance of utility based hedges by John Cotter( )

1 edition published in 2014 in English and held by 1 WorldCat member library worldwide

Anatomy of a bail-in by Thomas Conlon( )

1 edition published in 2014 in English and held by 1 WorldCat member library worldwide

Can housing risk be diversified? a cautionary tale from the housing boom and bust by John Cotter( )

1 edition published in 2014 in English and held by 1 WorldCat member library worldwide

Spectral risk measures : properties and limitations by Kevin Dowd( )

1 edition published in 2008 in English and held by 1 WorldCat member library worldwide

Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the features of the particular problems they are dealing with, and should be especially careful when using power SRMs
Credit default swaps as indicators of bank financial distress by Davide Avino( )

1 edition published in 2016 in English and held by 1 WorldCat member library worldwide

Spillovers in risk of financial institutions by John Cotter( )

1 edition published in 2018 in English and held by 1 WorldCat member library worldwide

Are equity market anomalies disappearing? evidence from the U.K by John Cotter( )

1 edition published in 2018 in English and held by 1 WorldCat member library worldwide

Sovereign and bank CDS spreads two sides of the same coin? by John Cotter( )

1 edition published in 2014 in English and held by 1 WorldCat member library worldwide

 
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Audience level: 0.96 (from 0.96 for The Last C ... to 1.00 for J. Cotter ...)

Alternative Names
Cotter, J.

John Cotter economist (University College Dublin; University of California-Los Angeles (UCLA))

John Cotter econoom

John Cotter Wirtschaftswissenschaftler/in (Banking and Finance; tätig im Centre for Financial Markets, Smurfit School of Business, Univ. College Dublin)

Languages
English (29)