"Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements"
... to trade stocks and bonds in the days versus hours before announcements due to higher risk. These sophisticated traders also find it less attractive to trade stocks versus bonds before announcements because of greater risk. As evidence, I consider hypothetical trading strategies that go long {short} ...
... to trade stocks and bonds in the days versus hours before announcements due to higher risk. These sophisticated traders also find it less attractive to trade stocks versus bonds before announcements because of greater risk. As evidence, I consider hypothetical trading strategies that go long {short} ...
2 hundred million +2 hundred million
... market have a Normal probability distribution, meaning there is a 1% (significant level) chance that losses will be greater than 2.32 standard deviations. Assuming a Normal distribution, 99% (confidence interval) VaR can be defined as follows: standard deviation of the portfolio's value The subscr ...
... market have a Normal probability distribution, meaning there is a 1% (significant level) chance that losses will be greater than 2.32 standard deviations. Assuming a Normal distribution, 99% (confidence interval) VaR can be defined as follows: standard deviation of the portfolio's value The subscr ...
The Objective in Corporate Finance
... • The hurdle rate should be higher for riskier projects and reflect the financing mix used - owners’ funds (equity) or borrowed money (debt) • Returns on projects should be measured based on cash flows generated and the timing of these cash flows; they should also consider both positive and negative ...
... • The hurdle rate should be higher for riskier projects and reflect the financing mix used - owners’ funds (equity) or borrowed money (debt) • Returns on projects should be measured based on cash flows generated and the timing of these cash flows; they should also consider both positive and negative ...
Investors` Horizons and the Amplification of Market Shocks
... funding constraints or rather other features of their demand determine panic selling, drops in liquidity and deviations of prices from fundamentals (e.g., Hameed, Kang and Viswanathan (2010)). In this respect, Karolyi, Lee and van Dijk (2011) show that institutional investors’ demand and incentives ...
... funding constraints or rather other features of their demand determine panic selling, drops in liquidity and deviations of prices from fundamentals (e.g., Hameed, Kang and Viswanathan (2010)). In this respect, Karolyi, Lee and van Dijk (2011) show that institutional investors’ demand and incentives ...
Dynamic competition and arbitrage in electricity markets: The role of
... market power than would be optimal given the elasticity of the residual demand they actually 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 equi ...
... market power than would be optimal given the elasticity of the residual demand they actually 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 equi ...
Does Supply Curve Inelasticity Explain Abnormal Long
... repurchases would there be no inelasticity effect.1 The mean repurchase trade size is 13,565 shares, four times larger than the average ordinary trade size. Bagwell (1992) finds in a study of Dutch auctions that the supply curve is not flat but rather is more inelastic for smaller quantities of sha ...
... repurchases would there be no inelasticity effect.1 The mean repurchase trade size is 13,565 shares, four times larger than the average ordinary trade size. Bagwell (1992) finds in a study of Dutch auctions that the supply curve is not flat but rather is more inelastic for smaller quantities of sha ...
A Stock Market Reaction Following Convertible Bond Issuance
... This paper examines the stock price reaction to the announcement of CBs issuance from 1996 to 2002 in Japan. The abnormal returns around announcement dates are examined using standard event study methodology. A significantly negative stock price reaction to the announcement of CBs is found, which is ...
... This paper examines the stock price reaction to the announcement of CBs issuance from 1996 to 2002 in Japan. The abnormal returns around announcement dates are examined using standard event study methodology. A significantly negative stock price reaction to the announcement of CBs is found, which is ...
Electronic Bulls and Bears: U.S. Securities Markets and Information
... Technology, responds to requests by the House Committee on Energy and Commerce and the House Committee on Government Operations to assess the role that communication and information technologies play in the securities markets. The Committee desired a benchmark for gauging progress made toward the na ...
... Technology, responds to requests by the House Committee on Energy and Commerce and the House Committee on Government Operations to assess the role that communication and information technologies play in the securities markets. The Committee desired a benchmark for gauging progress made toward the na ...
II. Estimating Risk and Return using Historical Data
... Because there is no other portfolio consisting purely of risky assets that, when connected by a straight line to the riskfree asset, lies northwest of it. In other words, of all the lines that can be drawn emanating from the riskfree asset and connecting with either risky asset or risky portfolio, n ...
... Because there is no other portfolio consisting purely of risky assets that, when connected by a straight line to the riskfree asset, lies northwest of it. In other words, of all the lines that can be drawn emanating from the riskfree asset and connecting with either risky asset or risky portfolio, n ...
Market Linked Securities
... You can find a discussion of risks and investment considerations below and in the preliminary pricing supplement and other related offering documents for any Market Linked Security. The following questions, which you should review with your financial advisor, are intended to initiate a conversation ...
... You can find a discussion of risks and investment considerations below and in the preliminary pricing supplement and other related offering documents for any Market Linked Security. The following questions, which you should review with your financial advisor, are intended to initiate a conversation ...
Amihud, Y
... Barber, B. M., and John D. Lyon (1997) Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms, Journal of finance, 52, 875-883. Basu, S., (1977) Investment performance of common stocks in relation to their price-earnings ratios; A test of the efficient market hypo ...
... Barber, B. M., and John D. Lyon (1997) Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms, Journal of finance, 52, 875-883. Basu, S., (1977) Investment performance of common stocks in relation to their price-earnings ratios; A test of the efficient market hypo ...
TESTING THE THREE FACTOR MODEL IN TURKEY
... Table 1 - Number of companies traded on the ISE equity markets ............................................ 14 Table 2 - Daily average of traded volume (USD) of the ISE equity markets ............................. 15 Table 3 - Daily average of traded volume of the ISE equity markets ................ ...
... Table 1 - Number of companies traded on the ISE equity markets ............................................ 14 Table 2 - Daily average of traded volume (USD) of the ISE equity markets ............................. 15 Table 3 - Daily average of traded volume of the ISE equity markets ................ ...
MBA 3 (F) - Abbsoft Computers
... Q-20 ----------- is the annual rate of return that a fund holder will earn under the assumptions that the bond is held to maturity & the invest payments are invested. (a) YTM (b) NPV (c) ARR (d)CY ans. A Q-21 Reference shares are also called ----------- securities on they share the characteristics o ...
... Q-20 ----------- is the annual rate of return that a fund holder will earn under the assumptions that the bond is held to maturity & the invest payments are invested. (a) YTM (b) NPV (c) ARR (d)CY ans. A Q-21 Reference shares are also called ----------- securities on they share the characteristics o ...
Momentum Effect: Empirical Evidence from Karachi Stock Exchange
... strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990’s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, ...
... strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990’s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, ...
debt to equity ratio, degree of operating leverage
... According to Bhandari (1988), a natural proxy for the risk of common equity of a firm is that firm’s (DER). An increase in the DER of a firm increases the risk of its common equity, measuring risk in any reasonable way. Though it does not follow that, cross-sectionally, the common equity of a higher ...
... According to Bhandari (1988), a natural proxy for the risk of common equity of a firm is that firm’s (DER). An increase in the DER of a firm increases the risk of its common equity, measuring risk in any reasonable way. Though it does not follow that, cross-sectionally, the common equity of a higher ...
The “value” effect and the market for Chinese stocks
... factors as has been shown for a shorter period by Jun and Malkiel (2008). The coefficients of determination of regressions of FI returns and the three Fama–French risk factors are 0.97 and 0.96 and all of the coefficients of the factors are highly significant. In addition, a zero “alpha” or excess retu ...
... factors as has been shown for a shorter period by Jun and Malkiel (2008). The coefficients of determination of regressions of FI returns and the three Fama–French risk factors are 0.97 and 0.96 and all of the coefficients of the factors are highly significant. In addition, a zero “alpha” or excess retu ...
Dynamic Asset Pricing With Non
... such forward contracts are available for trade, some standard results of portfolio and dynamic asset pricing theory must be amended. When the investment opportunity set is driven by K state variables, a (K+4)-mutual fund separation theorem is obtained in lieu of Merton’s classic (K+2)-fund separatio ...
... such forward contracts are available for trade, some standard results of portfolio and dynamic asset pricing theory must be amended. When the investment opportunity set is driven by K state variables, a (K+4)-mutual fund separation theorem is obtained in lieu of Merton’s classic (K+2)-fund separatio ...
Securities Processing: The Effects of a T+3 System on Security Prices
... prices, or it could be due to the wrong interest rate proxy. Then again, sellers may be demanding this premium because of potential processing errors that are costly to fix and that delay payment by more than six business days. In addition, his study explores whether payment delays explain the day ...
... prices, or it could be due to the wrong interest rate proxy. Then again, sellers may be demanding this premium because of potential processing errors that are costly to fix and that delay payment by more than six business days. In addition, his study explores whether payment delays explain the day ...
Financial equilibrium with career concerns
... has on the asset market. In a recent study of active management, Berk and Green (2004) present a model with symmetric information, learning, and diminishing returns to fund size that replicates several features of the data, including the flow-performance relationship. Berk and Green consider a parti ...
... has on the asset market. In a recent study of active management, Berk and Green (2004) present a model with symmetric information, learning, and diminishing returns to fund size that replicates several features of the data, including the flow-performance relationship. Berk and Green consider a parti ...
16: Asset Valuation: Derivative Investments
... before its expiration. Puts allow traders to earn a positive return when the underlying asset decreases in value. A diversified mutual fund can trade in S&P500 Index options, thereby closely matching the large-cap diversified portfolio. If the market declines, some or all of the losses on the portfo ...
... before its expiration. Puts allow traders to earn a positive return when the underlying asset decreases in value. A diversified mutual fund can trade in S&P500 Index options, thereby closely matching the large-cap diversified portfolio. If the market declines, some or all of the losses on the portfo ...
The information content of market liquidity: An empirical analysis of
... risk tomorrow. In a standard Merton [1973] consumption-portfolio decision problem, these trades would constitute hedging demand related to state variables that forecast changes in the investment-opportunity set. Thus, when a large number of investors move out of equities, the cost of trading equitie ...
... risk tomorrow. In a standard Merton [1973] consumption-portfolio decision problem, these trades would constitute hedging demand related to state variables that forecast changes in the investment-opportunity set. Thus, when a large number of investors move out of equities, the cost of trading equitie ...
The role of information asymmetry and financial reporting quality in
... perceive loans with binding covenants to be subject to higher information uncertainty and this is reflected in the higher spreads of these facilities. The high information asymmetry environment associated with loans subject to binding covenants might be driven by managers’ manipulative behavior, as ...
... perceive loans with binding covenants to be subject to higher information uncertainty and this is reflected in the higher spreads of these facilities. The high information asymmetry environment associated with loans subject to binding covenants might be driven by managers’ manipulative behavior, as ...
The Financialization of Commodity Markets
... several economic mechanisms through which futures market trading can impact commodity prices. We first describe the standard theory of storage, in which the spread between futures price and spot price serves as the incentive to store a commodity over time. We then describe two other mechanisms---ris ...
... several economic mechanisms through which futures market trading can impact commodity prices. We first describe the standard theory of storage, in which the spread between futures price and spot price serves as the incentive to store a commodity over time. We then describe two other mechanisms---ris ...
An Examination of Herd Behavior: An Empirical Study on
... Investment behavior has been an area of interest for portfolio managers, brokers, investors as well as academic researchers. History reveals that irrationalities in investment behavior have been the reason behind major booms and busts in the market. Herding is one such behavioral anomaly which defie ...
... Investment behavior has been an area of interest for portfolio managers, brokers, investors as well as academic researchers. History reveals that irrationalities in investment behavior have been the reason behind major booms and busts in the market. Herding is one such behavioral anomaly which defie ...
Application of CAPM in Measuring Risk and Return for Selected Markets of Iran’s Economy
... To date, various studies have been done to describe the relationship between risk and expected return of stock market in Iran and other countries. These studies mostly considered stocks of one company, the stocks combination of some companies, specific assets, or the market indexes. They mainly atte ...
... To date, various studies have been done to describe the relationship between risk and expected return of stock market in Iran and other countries. These studies mostly considered stocks of one company, the stocks combination of some companies, specific assets, or the market indexes. They mainly atte ...