Debt Equity Ratio
... Ratio Analysis is a widely used tool of financial analysis. It is defined as the systematic use of ratios to interpret the financial statements so that the strengths and weaknesses of a firm as well as its historical performance and current financial position can be determined. It should be noted th ...
... Ratio Analysis is a widely used tool of financial analysis. It is defined as the systematic use of ratios to interpret the financial statements so that the strengths and weaknesses of a firm as well as its historical performance and current financial position can be determined. It should be noted th ...
Financial capital
... financial restructuring process that is still in progress as of today. During the earnings presentation for the first quarter of 2015, Abengoa announced a reduction in its anticipated corporate cash flows from operations for the year in progress at the time, to € 600-800 M over a previous estimate o ...
... financial restructuring process that is still in progress as of today. During the earnings presentation for the first quarter of 2015, Abengoa announced a reduction in its anticipated corporate cash flows from operations for the year in progress at the time, to € 600-800 M over a previous estimate o ...
Global financial crisis, extreme interdependences, and contagion
... because stock market returns might exhibit common extreme variations. A number of past studies have reported the existence of significant linkages both between emerging and developed markets, and among emerging markets (e.g., Gallo and Otranto, 2005 for Asian emerging markets; Fujii, 2005 for Latin A ...
... because stock market returns might exhibit common extreme variations. A number of past studies have reported the existence of significant linkages both between emerging and developed markets, and among emerging markets (e.g., Gallo and Otranto, 2005 for Asian emerging markets; Fujii, 2005 for Latin A ...
Functional Dynamic Factor Model for Intraday Price Curves
... such companies? Is it significant for companies in the IT sector? The intuition we have regarding such questions is based on daily or lower frequency returns, see e.g., Jones and Kaul (1996), Park and Ratti (2008), and Narayan and Sharma (2011). Regression (5) quantifies the dependence between between ...
... such companies? Is it significant for companies in the IT sector? The intuition we have regarding such questions is based on daily or lower frequency returns, see e.g., Jones and Kaul (1996), Park and Ratti (2008), and Narayan and Sharma (2011). Regression (5) quantifies the dependence between between ...
Using Derivatives to Manage Interest Rate Risk Derivatives A
... Less than 1% of financial futures contracts experience physical delivery at expiration because most traders offset their futures positions in advance ...
... Less than 1% of financial futures contracts experience physical delivery at expiration because most traders offset their futures positions in advance ...
Is 22 a Measure of Market Ineffi ciency?!
... multi-period observations over a long period of time should be independent of the amount of …rm-level information with rational investors. This intuition can be extended to a stationary, multi-period, equilibrium. In such settings, there are shocks to asset fundamentals every period. In each period, ...
... multi-period observations over a long period of time should be independent of the amount of …rm-level information with rational investors. This intuition can be extended to a stationary, multi-period, equilibrium. In such settings, there are shocks to asset fundamentals every period. In each period, ...
mandlebrot
... behavior (especially in cases where major swings in price were seen). While many of Mandelbrot’s critics agreed with the idea that traditional statistics were insufficient when looking to forecast wild variations in price, some contended that when looking at longer time frames the market actually do ...
... behavior (especially in cases where major swings in price were seen). While many of Mandelbrot’s critics agreed with the idea that traditional statistics were insufficient when looking to forecast wild variations in price, some contended that when looking at longer time frames the market actually do ...
OPTION PRICING WHEN UNDERLYING STOCK
... life of the option. (4) The option is ‘European’ in that it can only be exercised at the expiration date. (5) The stock price follows a ‘geometric’ Brownian motion through time which produces a log-normal distribution for stock price between any two points in time. In a subsequent, alternative deriv ...
... life of the option. (4) The option is ‘European’ in that it can only be exercised at the expiration date. (5) The stock price follows a ‘geometric’ Brownian motion through time which produces a log-normal distribution for stock price between any two points in time. In a subsequent, alternative deriv ...
Dynamic competition and arbitrage in electricity markets: The role of
... faced. After learning about the future fall in transaction costs for financial traders, the firms moved closer to a static Nash equilibrium. This reaction is consistent with a repeated game cooperative equilibrium that unravels when future benefits from cooperation disappear. The forward market beco ...
... faced. After learning about the future fall in transaction costs for financial traders, the firms moved closer to a static Nash equilibrium. This reaction is consistent with a repeated game cooperative equilibrium that unravels when future benefits from cooperation disappear. The forward market beco ...
Pricing Arithmetic Asian options under the cev Process valorización
... some form of averaging of the underlying stock price during some specific period. There are two kinds of Asian options: arithmetic Asian options and geometric Asian options. At present, arithmetic Asian options have become increasingly prevalent in the over-the-counter market. Kernna & Vorst (1990) ...
... some form of averaging of the underlying stock price during some specific period. There are two kinds of Asian options: arithmetic Asian options and geometric Asian options. At present, arithmetic Asian options have become increasingly prevalent in the over-the-counter market. Kernna & Vorst (1990) ...
MARKET SEGMENTATION AND THE COST OF CAPITAL IN
... complicated if there are positive shocks to the expected growth rate of dividends during the pre-liberalization window but no shocks after liberalization. For example, under Gordon’s dividend growth model, the estimation of the cost of capital must take into account the change in the expected growth ...
... complicated if there are positive shocks to the expected growth rate of dividends during the pre-liberalization window but no shocks after liberalization. For example, under Gordon’s dividend growth model, the estimation of the cost of capital must take into account the change in the expected growth ...
PRC Paper Title - Stanford University
... parameters: (1) the total annual market return Ru for an up-move, (2) the total annual market return Rd for a down-move, and (3) the total annual return Rf on a risk-free asset. All three of these annual returns are assumed to be real. For example, the values Ru = 1.18, Rd = 0.94, and Rf = 1.02 give ...
... parameters: (1) the total annual market return Ru for an up-move, (2) the total annual market return Rd for a down-move, and (3) the total annual return Rf on a risk-free asset. All three of these annual returns are assumed to be real. For example, the values Ru = 1.18, Rd = 0.94, and Rf = 1.02 give ...
THE EVOLVING RESIDENTIAL GROUND RENT MARKET
... be generated from activities associated with long leases such ...
... be generated from activities associated with long leases such ...
How volatile are East Asian stocks during high volatility periods?*
... The shaded portion of the diagrams covers the start of the Asian crisis up to the end of the study’s sample period. The estimates seem reasonable as most of the coefficients are significantly different from zero. Except for Hong Kong, the coefficient estimates satisfactorily show the presence of ARC ...
... The shaded portion of the diagrams covers the start of the Asian crisis up to the end of the study’s sample period. The estimates seem reasonable as most of the coefficients are significantly different from zero. Except for Hong Kong, the coefficient estimates satisfactorily show the presence of ARC ...
Absence of Common Knowledge as A Source of
... to econometricians. Still, it is difficult to identify any fundamental changes to support a 90 percent decline in US stock prices over a three-year period beginning in 1929. Stock market bids, offers, and transactions are observable data. Investor beliefs of all orders, being inherently private, ar ...
... to econometricians. Still, it is difficult to identify any fundamental changes to support a 90 percent decline in US stock prices over a three-year period beginning in 1929. Stock market bids, offers, and transactions are observable data. Investor beliefs of all orders, being inherently private, ar ...
2010 Flash Crash
The May 6, 2010, Flash Crash also known as The Crash of 2:45, the 2010 Flash Crash or simply the Flash Crash, was a United States trillion-dollar stock market crash, which started at 2:32 and lasted for approximately 36 minutes. Stock indexes, such as the S&P 500, Dow Jones Industrial Average and Nasdaq 100, collapsed and rebounded very rapidly.The Dow Jones Industrial Average had its biggest intraday point drop (from the opening) up to that point, plunging 998.5 points (about 9%), most within minutes, only to recover a large part of the loss. It was also the second-largest intraday point swing (difference between intraday high and intraday low) up to that point, at 1,010.14 points. The prices of stocks, stock index futures, options and ETFs were volatile, thus trading volume spiked. A CFTC 2014 report described it as one of the most turbulent periods in the history of financial markets.On April 21, 2015, nearly five years after the incident, the U.S. Department of Justice laid ""22 criminal counts, including fraud and market manipulation"" against Navinder Singh Sarao, a trader. Among the charges included was the use of spoofing algorithms; just prior to the Flash Crash, he placed thousands of E-mini S&P 500 stock index futures contracts which he planned on canceling later. These orders amounting to about ""$200 million worth of bets that the market would fall"" were ""replaced or modified 19,000 times"" before they were canceled. Spoofing, layering and front-running are now banned.The Commodity Futures Trading Commission (CFTC) investigation concluded that Sarao ""was at least significantly responsible for the order imbalances"" in the derivatives market which affected stock markets and exacerbated the flash crash. Sarao began his alleged market manipulation in 2009 with commercially available trading software whose code he modified ""so he could rapidly place and cancel orders automatically."" Traders Magazine journalist, John Bates, argued that blaming a 36-year-old small-time trader who worked from his parents' modest stucco house in suburban west London for sparking a trillion-dollar stock market crash is a little bit like blaming lightning for starting a fire"" and that the investigation was lengthened because regulators used ""bicycles to try and catch Ferraris."" Furthermore, he concluded that by April 2015, traders can still manipulate and impact markets in spite of regulators and banks' new, improved monitoring of automated trade systems.As recently as May 2014, a CFTC report concluded that high-frequency traders ""did not cause the Flash Crash, but contributed to it by demanding immediacy ahead of other market participants.""Recent research shows that Flash Crashes are not isolated occurrences, but have occurred quite often over the past century. For instance, Irene Aldridge, the author of High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, 2nd ed., Wiley & Sons, shows that Flash Crashes have been frequent and their causes predictable in market microstructure analysis.