Is Economics Performative? Option Theory and the Construction of Derivatives Markets
... By the start of the 1970s, however, work by financial economists Fischer Black and Myron Scholes, with key additional input from their colleague Robert C. Merton, produced what has become the canonical theory of options (Black and Scholes 1973; Merton 1973). Although there were significant differenc ...
... By the start of the 1970s, however, work by financial economists Fischer Black and Myron Scholes, with key additional input from their colleague Robert C. Merton, produced what has become the canonical theory of options (Black and Scholes 1973; Merton 1973). Although there were significant differenc ...
Trade the Right Stocks at the Right Time
... Strong stocks in strong sectors / industry groups Weak stocks in weak sectors / industry groups ...
... Strong stocks in strong sectors / industry groups Weak stocks in weak sectors / industry groups ...
Decimalization, trading costs, and information transmission between
... the effect of an increase in tick size of S&P 500 futures. They find increases in the S&P 500 futures bid–ask spreads, but the spreads remain low relative to those of S&P 500 ETFs, which is consistent with the empirical results here. DeJong and Donders (1998) examine the relations between futures, o ...
... the effect of an increase in tick size of S&P 500 futures. They find increases in the S&P 500 futures bid–ask spreads, but the spreads remain low relative to those of S&P 500 ETFs, which is consistent with the empirical results here. DeJong and Donders (1998) examine the relations between futures, o ...
Market efficiency in emerging stock markets: A case study of the
... 2008). The efficient market hypothesis (EMH), however, has a vital part in modern financial literature. As a result, for a sufficient market, Magnusson and Wydick (2002) state that movements in such market need to be characterized by a random walk based on current available information. Many researc ...
... 2008). The efficient market hypothesis (EMH), however, has a vital part in modern financial literature. As a result, for a sufficient market, Magnusson and Wydick (2002) state that movements in such market need to be characterized by a random walk based on current available information. Many researc ...
an empirical analysis - Indian Commerce Association (ICA)
... concerned about the factors determining international investment, the performance of foreign capital investments, and the impact of foreign investment on local turnover and on the volatility of stock prices (Tesar and Werner, 1995). FII inflows on domestic stock market are important from government ...
... concerned about the factors determining international investment, the performance of foreign capital investments, and the impact of foreign investment on local turnover and on the volatility of stock prices (Tesar and Werner, 1995). FII inflows on domestic stock market are important from government ...
Chapter 7
... Position Risk Example (cont’d) Because of the negative position delta, the curve moves into profitable territory if the stock price declines. If the stock price declines too far, however, the curve will turn down, indicating that large losses are possible. On the upside, losses occur if the stock pr ...
... Position Risk Example (cont’d) Because of the negative position delta, the curve moves into profitable territory if the stock price declines. If the stock price declines too far, however, the curve will turn down, indicating that large losses are possible. On the upside, losses occur if the stock pr ...
18Future Contracts,Options and Swaps
... This is because when you buy an option; you have to be correct in determining not only the direction of the stock's movement, but also the magnitude and the timing of this movement. To succeed, you must correctly predict whether a stock will go up or down, and you have to be right about how much the ...
... This is because when you buy an option; you have to be correct in determining not only the direction of the stock's movement, but also the magnitude and the timing of this movement. To succeed, you must correctly predict whether a stock will go up or down, and you have to be right about how much the ...
Mean-Reverting Models in Financial and Energy Markets
... financial markets (for Heston model + models with delay) • We can price options for an asset in energy markets • Drawbacks: 1) one-factor models (L is a constant) 2) W(phi_t^-1)-Gaussian process • Future work: 1) consider two-factor models: S (t) and L (t) (L->L (t)) (possibly with jumps) (analytica ...
... financial markets (for Heston model + models with delay) • We can price options for an asset in energy markets • Drawbacks: 1) one-factor models (L is a constant) 2) W(phi_t^-1)-Gaussian process • Future work: 1) consider two-factor models: S (t) and L (t) (L->L (t)) (possibly with jumps) (analytica ...
Introduction to Financial Management
... • Examples: labor strikes, part shortages, etc. Return to Quick Quiz ...
... • Examples: labor strikes, part shortages, etc. Return to Quick Quiz ...
Dynamic Trading with Predictable Returns and
... position in security 1 decays more slowly than that in security 2, as the predictor that currently “likes” security 1 is more persistent. Therefore, the aim portfolio loads more heavily on security 1, and consequently the optimal trade buys more shares in security 1 than it would otherwise. We show ...
... position in security 1 decays more slowly than that in security 2, as the predictor that currently “likes” security 1 is more persistent. Therefore, the aim portfolio loads more heavily on security 1, and consequently the optimal trade buys more shares in security 1 than it would otherwise. We show ...
Stock Split Revisited: Evidence from U.S. and China Sheridan
... United States and China. Specifically, we update the U.S. evidence by examining the more recent post-1999 data and examine Chinese data over this same time period. There are a number of reasons why the out-of-sample evidence in the United States may be of independent interest. In the recent period, ...
... United States and China. Specifically, we update the U.S. evidence by examining the more recent post-1999 data and examine Chinese data over this same time period. There are a number of reasons why the out-of-sample evidence in the United States may be of independent interest. In the recent period, ...
PDF
... seasonality. Chen et al. (2010) found that exchange rates are very useful in forecasting future commodity prices but not vice versa. They also found positive relationship between exchange rate and international commodity prices. More recent studies consider a time period when China had already devel ...
... seasonality. Chen et al. (2010) found that exchange rates are very useful in forecasting future commodity prices but not vice versa. They also found positive relationship between exchange rate and international commodity prices. More recent studies consider a time period when China had already devel ...
Short selling around the world with applications to the S…
... market, subsequent stock returns are far less than the market.5 In other words, when short selling is limited, investors pay prices that are too high for stocks. Although at first it might seem good to have stock prices that are too high, it is not good. As the stock price eventually falls, many inv ...
... market, subsequent stock returns are far less than the market.5 In other words, when short selling is limited, investors pay prices that are too high for stocks. Although at first it might seem good to have stock prices that are too high, it is not good. As the stock price eventually falls, many inv ...
Insider Trading and CEO Pay - Chicago Unbound
... deal that pays managers in part out of the hide of future shareholders. The firm should also internalize any costs arising from this payment scheme, since future shareholders should take this into account when deciding whether and at what price to buy shares. While there still may be good reasons to ...
... deal that pays managers in part out of the hide of future shareholders. The firm should also internalize any costs arising from this payment scheme, since future shareholders should take this into account when deciding whether and at what price to buy shares. While there still may be good reasons to ...
Stale or Sticky Stock Prices?
... For each trade day t, we rank all stocks on their day t–1 market capitalization and partition the stocks into ten deciles. For each stock in a cap-decile, we record for day t the time of its last trade on its primary market and calculate the number of minutes between that trade and the time of the m ...
... For each trade day t, we rank all stocks on their day t–1 market capitalization and partition the stocks into ten deciles. For each stock in a cap-decile, we record for day t the time of its last trade on its primary market and calculate the number of minutes between that trade and the time of the m ...
How Quickly Do Markets Learn? Private Information Dissemination
... Our study makes a distinct contribution to the vast literature on information and asset pricing by making usually unobservable private information the subject of empirical tests, complementing the common approaches that rely on transaction and order flow information (for a comprehensive survey, see ...
... Our study makes a distinct contribution to the vast literature on information and asset pricing by making usually unobservable private information the subject of empirical tests, complementing the common approaches that rely on transaction and order flow information (for a comprehensive survey, see ...
Financial Market Shocks and the Macroeconomy
... Following Grossman and Stiglitz (1980) we assume there is a mass m of informed agents and 1 − m of uninformed agents, each with negative exponential utility with risk aversion R. Informed agents learn the realization of the technology shock θ perfectly after date 0 and prior to trade at date 1. We ...
... Following Grossman and Stiglitz (1980) we assume there is a mass m of informed agents and 1 − m of uninformed agents, each with negative exponential utility with risk aversion R. Informed agents learn the realization of the technology shock θ perfectly after date 0 and prior to trade at date 1. We ...
Treasury bill rate - Chinhoyi University of Technology
... techniques employed in the past. One of the analysts suggested that the current literature has examined the relationship between Price– Earnings (P/E) ratios and securities returns. A number of studies had concluded that high P/E stocks tended to have higher betas and lower risk-adjusted returns tha ...
... techniques employed in the past. One of the analysts suggested that the current literature has examined the relationship between Price– Earnings (P/E) ratios and securities returns. A number of studies had concluded that high P/E stocks tended to have higher betas and lower risk-adjusted returns tha ...
Earnings Release
... captured by the dispersion observed between analysts’ predictions [Abarbanell, Lanen and Verrechia (1995)]. Finally, an alternative method presented by Maddala and Nimalendran (1995) is the non-observed component approach that uses earnings surprises as a non-observed explicative variable in differe ...
... captured by the dispersion observed between analysts’ predictions [Abarbanell, Lanen and Verrechia (1995)]. Finally, an alternative method presented by Maddala and Nimalendran (1995) is the non-observed component approach that uses earnings surprises as a non-observed explicative variable in differe ...
MACD: A Sweet Anticipation by "Ed Seykota" MACD: Sweet
... MACD: A Sweet Anticipation by "Ed Seykota" MACD: Sweet anticipation? Moving average convergence/divergence (MACD) is one of today's most popular trendfollowing indicators in analytical software packages and online services, but research shows the indicator isn't always so reliable, particularly in s ...
... MACD: A Sweet Anticipation by "Ed Seykota" MACD: Sweet anticipation? Moving average convergence/divergence (MACD) is one of today's most popular trendfollowing indicators in analytical software packages and online services, but research shows the indicator isn't always so reliable, particularly in s ...
Hard Times
... Other work has used implications from the cross section to derive new equity premium predictors. For example, Polk, Thompson, and Vuolteenaho (2006) point out that if the CAPM is true, a high equity premium implies low prices for stocks with high betas. Relative valuations of high-beta stocks can th ...
... Other work has used implications from the cross section to derive new equity premium predictors. For example, Polk, Thompson, and Vuolteenaho (2006) point out that if the CAPM is true, a high equity premium implies low prices for stocks with high betas. Relative valuations of high-beta stocks can th ...
An international trend in market design: Endogenous effects of limit
... than a hybrid of dealer- and order-driven markets. The studied change in market design is common for limit order book markets, while hybrid markets tend to provide some transparency of dealer identity. Although we recognize that the market design change investigated in this paper is complex, it is t ...
... than a hybrid of dealer- and order-driven markets. The studied change in market design is common for limit order book markets, while hybrid markets tend to provide some transparency of dealer identity. Although we recognize that the market design change investigated in this paper is complex, it is t ...
learning and evolution of trading strategies in limit order markets
... trading strategies in limit order markets. We now summarize the main findings and discuss the main contributions of the paper. To help the discussion, we refer one-sided learning to the cases where either the informed or the uninformed traders learn and two-sided learning to the case where both the ...
... trading strategies in limit order markets. We now summarize the main findings and discuss the main contributions of the paper. To help the discussion, we refer one-sided learning to the cases where either the informed or the uninformed traders learn and two-sided learning to the case where both the ...
The Impact of Serial Correlation on Option Prices in a Non
... water. These modifications stand by the seminal Black-Scholes conception of an arbitrage based optionpricing model in which a perfect hedge can be formed between the option and the underlying asset. The inconsistency that has received the most attention is the so-called volatility smile. The volatil ...
... water. These modifications stand by the seminal Black-Scholes conception of an arbitrage based optionpricing model in which a perfect hedge can be formed between the option and the underlying asset. The inconsistency that has received the most attention is the so-called volatility smile. The volatil ...
Liquidity measures, liquidity drivers and expected returns on an
... shocks. By highlighting the role of consumption smoothing and wealth rebalancing we contribute to the discussion on the drivers of the liquidity risk premium. It has been shown that liquidity risk is priced, and recent findings provide for higher premiums on emerging markets than on developed market ...
... shocks. By highlighting the role of consumption smoothing and wealth rebalancing we contribute to the discussion on the drivers of the liquidity risk premium. It has been shown that liquidity risk is priced, and recent findings provide for higher premiums on emerging markets than on developed market ...