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The Response of Stock Market Volatility to Futures
... expected stock returns. An unexpected monetary policy tightening constitutes negative news to stocks whose future cash flows (dividends) are valued at a higher than expected discount rate. This implies that a monetary policy shock is expected to decrease returns contemporaneously and to increase fut ...
... expected stock returns. An unexpected monetary policy tightening constitutes negative news to stocks whose future cash flows (dividends) are valued at a higher than expected discount rate. This implies that a monetary policy shock is expected to decrease returns contemporaneously and to increase fut ...
derivatives - Bombay Chartered Accountants` Society
... Transaction Cost Valuation at the year end Time of accrual of premium for writer Pradip Kapasi & Co. Chartered Accountants ...
... Transaction Cost Valuation at the year end Time of accrual of premium for writer Pradip Kapasi & Co. Chartered Accountants ...
Liquidity risk management developments
... More generally stress & scenario testing is a tool that organisations use to help them identify, assess & manage risks arising from the business they conduct. Conventional risk measures are based on historic assumptions that include normal distributions of risk factors. In other words the business-a ...
... More generally stress & scenario testing is a tool that organisations use to help them identify, assess & manage risks arising from the business they conduct. Conventional risk measures are based on historic assumptions that include normal distributions of risk factors. In other words the business-a ...
primary dealership in ghana
... market, calculated as total market activity divided by the number of PDs. For example, if there are 10 PDs, each would have a proportional market share of 10%. Regulatory Authorities - MOF and Financial Regulators of the different operators in the financial market i.e. BOG, SEC, GSE and NIC. Repo or ...
... market, calculated as total market activity divided by the number of PDs. For example, if there are 10 PDs, each would have a proportional market share of 10%. Regulatory Authorities - MOF and Financial Regulators of the different operators in the financial market i.e. BOG, SEC, GSE and NIC. Repo or ...
The Case for Funds of Hedge Funds
... consider what to do with its portfolio posttermination, as the liquidity of that portfolio may be even more protracted than any notice period employees may have, and the liquidity of that portfolio will ultimately be the liquidity of the least liquid component contained therein. In contrast, an inve ...
... consider what to do with its portfolio posttermination, as the liquidity of that portfolio may be even more protracted than any notice period employees may have, and the liquidity of that portfolio will ultimately be the liquidity of the least liquid component contained therein. In contrast, an inve ...
Risks in Hedge Fund Strategies: Case of Convertible Arbitrage
... convertible bond’s risks that are fairly priced leaving himself with the highest expected reward for placing capital at risk. 4 A convertible arbitrage strategy (“C AS” for short) usually involves buying a portfolio of convertible securities and hedging equity risk by short-selling the underlying s ...
... convertible bond’s risks that are fairly priced leaving himself with the highest expected reward for placing capital at risk. 4 A convertible arbitrage strategy (“C AS” for short) usually involves buying a portfolio of convertible securities and hedging equity risk by short-selling the underlying s ...
NBIM DIscussIoN NoTE Momentum in Futures Market
... positive returns during extreme equity moves. Liquidity constraints aside, this implies overlaying a global portfolio of bonds and equities with trend following strategies may improve the risk-return profile of traditional long-term investors. In this note, we survey the available academic literatur ...
... positive returns during extreme equity moves. Liquidity constraints aside, this implies overlaying a global portfolio of bonds and equities with trend following strategies may improve the risk-return profile of traditional long-term investors. In this note, we survey the available academic literatur ...
Price Impact and the Recovery of the Limit Order Book
... Authors, such as Garbade (1982), Kyle (1985), Harris (2003) define market resiliency as how quickly prices revert to former levels after they change in response to large order flow initiated by uninformed traders. According to the seminal paper of Glosten and Milgrom (1985), this price discovery pr ...
... Authors, such as Garbade (1982), Kyle (1985), Harris (2003) define market resiliency as how quickly prices revert to former levels after they change in response to large order flow initiated by uninformed traders. According to the seminal paper of Glosten and Milgrom (1985), this price discovery pr ...
Long Term Capital Gains Tax Strategies
... he/she believes the security value will fall during the remainder of the year, reducing or eliminating the paper profit. The investor wants to take the gain, but at the same time he/she does not want to pay the higher taxes for the shortterm holding period. He/She could use a CPPS to extend the hold ...
... he/she believes the security value will fall during the remainder of the year, reducing or eliminating the paper profit. The investor wants to take the gain, but at the same time he/she does not want to pay the higher taxes for the shortterm holding period. He/She could use a CPPS to extend the hold ...
The Retirement Risk Zone: A Baseline Study
... The retirement risk zone (also known as the ‘conversion’ phase) is commonly defined as the final 10 years of working life (the ‘accumulation’ phase) and the first 10 years of retirement (the ‘decumulation’ phase). Importantly, it is this 20 year period when the greatest amount of retirement savings ...
... The retirement risk zone (also known as the ‘conversion’ phase) is commonly defined as the final 10 years of working life (the ‘accumulation’ phase) and the first 10 years of retirement (the ‘decumulation’ phase). Importantly, it is this 20 year period when the greatest amount of retirement savings ...
the role of financial markets in the pricing of crude oil
... Institutional theory of commodity pricing, starting with the role of financial investors in oil pricing. The work follows the path laid out by Post-Keynesian and Institutionalist scholars who have developed an empirically grounded theory of pricing based on institutions of market governance, where p ...
... Institutional theory of commodity pricing, starting with the role of financial investors in oil pricing. The work follows the path laid out by Post-Keynesian and Institutionalist scholars who have developed an empirically grounded theory of pricing based on institutions of market governance, where p ...
Twitter Volume Spikes: Analysis and Application in Stock Trading
... wide range, varying from only a few tweets to above 2,000 tweets per day. In the rest of the paper, we only consider the stocks with average daily number of tweets larger than 10. There are 168 such stocks in S&P 500. ...
... wide range, varying from only a few tweets to above 2,000 tweets per day. In the rest of the paper, we only consider the stocks with average daily number of tweets larger than 10. There are 168 such stocks in S&P 500. ...
Dividend Increase Announcements and Stock Market Reaction
... study will examine the effect of the announcement of dividend increase on these stocks during the period from 2001 to 2010. We will be using the event study methodology to examine the stock performance pre and post the announcements of increases in dividend and whether the investors were able to mak ...
... study will examine the effect of the announcement of dividend increase on these stocks during the period from 2001 to 2010. We will be using the event study methodology to examine the stock performance pre and post the announcements of increases in dividend and whether the investors were able to mak ...