Julia Kapraun
Goethe University Frankfurt
7 Papers
39 Citations
Julia Kapraun is an academic researcher from Goethe University Frankfurt. The author has contributed to research in topics: Volatility risk premium & Futures contract. The author has an hindex of 4, co-authored 7 publications. Previous affiliations of Julia Kapraun include University of Hamburg & WHU - Otto Beisheim School of Management.
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Papers
(In)-Credibly Green: Which Bonds Trade at a Green Bond Premium?
Julia Kapraun,Julia Kapraun,Carmelo Latino,Christopher Scheins,Christian Schlag,Christian Schlag +5 more
TL;DR: In this article, the authors analyze a sample of more than 1,500 green bonds with respect to their pricing on the primary and secondary market and find that only certain types of bonds trade at a Green premium relative to their conventional counterparts, namely those which are issued by governments or supranational entities, denominated in EUR, or corporate bonds with very large issue sizes.
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Trading and Investing in Volatility Products
TL;DR: The authors survey the academic literature in this area and present a comprehensive and up-to-date comparison of the market and statistical characteristics of European and US exchange-traded volatility products.
Can retail investor attention enhance market efficiency? : Insights from search engine data
TL;DR: In this article, the authors find that high investor attention is associated with better incorporation of idiosyncratic stock information, which they interpret as improved pricing efficiency, and this effect is even more pronounced in bullish markets.
Up- and downside variance risk premia in global equity markets
TL;DR: In this article, a general equilibrium model featuring external habit formation and "bad environment-good environment" dynamics for consumption and dividends was proposed to explain many of these stylized facts and highlight the economic mechanisms.
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Up- and Downside Variance Risk Premia in Global Equity Markets
TL;DR: In this article, the variance risk premium from a new perspective by disaggregating the total variance risk into upper and lower semivariance premia is studied, and it is shown that the variance premium is almost exclusively driven by the left tail of the index return distribution.
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