Governing Multiple Firms"
... monitors, she may su¤er a shock, which forces her to sell and so she does not receive the full payo¤ from monitoring. Alternatively, she may not monitor and sell (“cut and run”). Selling leads to a relatively high price under separate ownership, as discussed above. Thus, the payo¤ from monitoring (n ...
... monitors, she may su¤er a shock, which forces her to sell and so she does not receive the full payo¤ from monitoring. Alternatively, she may not monitor and sell (“cut and run”). Selling leads to a relatively high price under separate ownership, as discussed above. Thus, the payo¤ from monitoring (n ...
BARCLAYS BANK PLC (Form: 424B2, Received: 12/30
... maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Trade Date is based on our internal funding rates. Our estimated value of the Securities may be lower if such valuation were based on the levels at which our benchmark ...
... maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the Trade Date is based on our internal funding rates. Our estimated value of the Securities may be lower if such valuation were based on the levels at which our benchmark ...
When uncertainty blows in the orchard comovement and equilibrium
... 1 We compute the index volatility risk premium as the difference between the VIX and the 30 day (annualized) realized volatility on the S&P 500. The volatility risk premia on the individual sectors are calculated from implied volatilities of 30 day at-the-money options on individual stocks. We then a ...
... 1 We compute the index volatility risk premium as the difference between the VIX and the 30 day (annualized) realized volatility on the S&P 500. The volatility risk premia on the individual sectors are calculated from implied volatilities of 30 day at-the-money options on individual stocks. We then a ...
preface - The Cheap Investor
... over 25 years, and call it the “CHEAP” philosophy. Almost everyone has heard the old adage, “Buy low and sell high”. Logically, that is the only way an investor will make money. The problem most investors have is they don’t think for themselves. Instead, they follow the herd. They get caught up in m ...
... over 25 years, and call it the “CHEAP” philosophy. Almost everyone has heard the old adage, “Buy low and sell high”. Logically, that is the only way an investor will make money. The problem most investors have is they don’t think for themselves. Instead, they follow the herd. They get caught up in m ...
Speculative Betas - Faculty Directory | Berkeley-Haas
... situation where levering up low-beta stocks ends up being less efficient than buying high-beta stocks when speculating on the common factor of firms’ cash flows. In other words, higher beta assets are naturally more speculative. Our model yields the following key testable implications. When macro-di ...
... situation where levering up low-beta stocks ends up being less efficient than buying high-beta stocks when speculating on the common factor of firms’ cash flows. In other words, higher beta assets are naturally more speculative. Our model yields the following key testable implications. When macro-di ...
Market Arbitrage of Cash Dividends and Franking Credits
... higher average cash drop-off ratios (0.89) than stocks paying unfranked dividends (0.66). This is consistent with the idea that shareholders were attributing at least some value to the embedded franking credits.4 Walker and Partington (1999) estimated gross drop-off ratios using data on contemporane ...
... higher average cash drop-off ratios (0.89) than stocks paying unfranked dividends (0.66). This is consistent with the idea that shareholders were attributing at least some value to the embedded franking credits.4 Walker and Partington (1999) estimated gross drop-off ratios using data on contemporane ...
Common market makers and commonality in liquidity
... negatively related to the degree of specialist portfolio diversification. Strobl (2002) notes that, while inventory costs could decrease with specialist portfolio diversification, adverse selection costs could increase. Apart from portfolio composition, Coughenour and Deli (2002) find that specialist fi ...
... negatively related to the degree of specialist portfolio diversification. Strobl (2002) notes that, while inventory costs could decrease with specialist portfolio diversification, adverse selection costs could increase. Apart from portfolio composition, Coughenour and Deli (2002) find that specialist fi ...
Common market makers and commonality in liquidity
... negatively related to the degree of specialist portfolio diversification. Strobl (2002) notes that, while inventory costs could decrease with specialist portfolio diversification, adverse selection costs could increase. Apart from portfolio composition, Coughenour and Deli (2002) find that specialist fi ...
... negatively related to the degree of specialist portfolio diversification. Strobl (2002) notes that, while inventory costs could decrease with specialist portfolio diversification, adverse selection costs could increase. Apart from portfolio composition, Coughenour and Deli (2002) find that specialist fi ...
Journal of Financial Economics Momentum crashes
... performance, we challenge the robustness of our findings by replicating the results in different sample periods, four different equity markets, and five distinct asset classes. Across different time periods, markets, and asset classes, we find remarkably consistent results. First, the results are ro ...
... performance, we challenge the robustness of our findings by replicating the results in different sample periods, four different equity markets, and five distinct asset classes. Across different time periods, markets, and asset classes, we find remarkably consistent results. First, the results are ro ...
Market Signals Associated with Taiwan REIT IPOs
... Finally, based on the research of Akhigbe, Johnston, Madura and Springer (2004), MARKETUP is used to estimate recent market sentiment. When the market sentiment is more favorable, investors may evaluate the issue information more optimistically. Thus, construction stocks may generate better cumulati ...
... Finally, based on the research of Akhigbe, Johnston, Madura and Springer (2004), MARKETUP is used to estimate recent market sentiment. When the market sentiment is more favorable, investors may evaluate the issue information more optimistically. Thus, construction stocks may generate better cumulati ...
CTAs: Shedding light on the black box
... in the highly regulated and liquid global futures markets. The term ‘Managed Futures Fund’ is often used interchangeably to describe CTAs. CTAs tend to be agnostic as to market direction, using price (and derivatives of price such as volatility) to extract returns from markets. While CTAs as a strat ...
... in the highly regulated and liquid global futures markets. The term ‘Managed Futures Fund’ is often used interchangeably to describe CTAs. CTAs tend to be agnostic as to market direction, using price (and derivatives of price such as volatility) to extract returns from markets. While CTAs as a strat ...
Dynamic Conditional Beta is Alive and Well in the
... risk-averse utility of terminal wealth maximizers. However, in the real world, investors live for many periods and their investment decisions change through time according to their expectations about the future return distributions. The early empirical tests of the CAPM also make the assumption that ...
... risk-averse utility of terminal wealth maximizers. However, in the real world, investors live for many periods and their investment decisions change through time according to their expectations about the future return distributions. The early empirical tests of the CAPM also make the assumption that ...
The Impact of Hidden Liquidity in Limit Order Books
... and actual iceberg orders with the salient effect being that the market orders hitting the side with the iceberg order have a significantly smaller fixed and variable price impact over a 30 trader horizon. The distribution of the market order size and the probability of a buy versus a sell market or ...
... and actual iceberg orders with the salient effect being that the market orders hitting the side with the iceberg order have a significantly smaller fixed and variable price impact over a 30 trader horizon. The distribution of the market order size and the probability of a buy versus a sell market or ...
The Information Content of the NCREIF Index
... estate, such as commingled funds. Return series on privately held real estate are impacted by infrequent appraisals, are often labeled as smoothed, and hence, do not update information as quickly. Recent studies of NCREIF, for example, attempt to refine the measurement of return indexes, and interpr ...
... estate, such as commingled funds. Return series on privately held real estate are impacted by infrequent appraisals, are often labeled as smoothed, and hence, do not update information as quickly. Recent studies of NCREIF, for example, attempt to refine the measurement of return indexes, and interpr ...
“Too Big to Fail”?
... and the focus has been moving away from banks as stricter regulations have been legislated and are being implemented. In the meantime, the sector of commodities has been growing and reaching levels never seen before. This had the effect to shed light on commodity trading firms and consequently led p ...
... and the focus has been moving away from banks as stricter regulations have been legislated and are being implemented. In the meantime, the sector of commodities has been growing and reaching levels never seen before. This had the effect to shed light on commodity trading firms and consequently led p ...
I Should We Fear Derivatives? Rene´ M. Stulz
... for the value of the underlyings against which claims are traded in the derivatives markets. For example, the euro forward contract we discussed earlier has a notional value of $118 million, and the interest rate swap had a notional amount of $200,000. Interest rate swaps represent 56 percent of the ...
... for the value of the underlyings against which claims are traded in the derivatives markets. For example, the euro forward contract we discussed earlier has a notional value of $118 million, and the interest rate swap had a notional amount of $200,000. Interest rate swaps represent 56 percent of the ...
Portfolio Choice with Illiquid Assets
... case in which there are two perfectly correlated securities with different Sharpe ratios. In a portfolio choice model without illiquidity risk, this case presents an arbitrage opportunity; the investor takes positions of plus or minus infinity in the two different assets. When one asset is illiquid, ...
... case in which there are two perfectly correlated securities with different Sharpe ratios. In a portfolio choice model without illiquidity risk, this case presents an arbitrage opportunity; the investor takes positions of plus or minus infinity in the two different assets. When one asset is illiquid, ...
FREE Sample Here - We can offer most test bank and
... B) an auction market with face-to-face trading on the floor of the stock exchange in addition to automated, electronic trading. C) a hybrid market, allowing for face-to-face trading on the floor of the stock exch ...
... B) an auction market with face-to-face trading on the floor of the stock exchange in addition to automated, electronic trading. C) a hybrid market, allowing for face-to-face trading on the floor of the stock exch ...
Do Mutual Funds Time the Market? Evidence from
... stock-selection ability. There are several empirical advantages when the holdings data is used to evaluate market timing. First, the tests based on portfolio holdings are more powerful than those based on fund returns. When estimating stock betas, we can use stock returns that typically are availabl ...
... stock-selection ability. There are several empirical advantages when the holdings data is used to evaluate market timing. First, the tests based on portfolio holdings are more powerful than those based on fund returns. When estimating stock betas, we can use stock returns that typically are availabl ...
Margins - ASX Clear - Australian Securities Exchange
... from the above examples, if the premium margin (which is the same as the current value) for the Telstra Sep $4.00 call is $0.33 and the risk margin is $0.14, then the total margin is $0.47. If the premium margin for the Telstra Sep $3.75 put is $0.12 and the risk margin is $0.07, then the total marg ...
... from the above examples, if the premium margin (which is the same as the current value) for the Telstra Sep $4.00 call is $0.33 and the risk margin is $0.14, then the total margin is $0.47. If the premium margin for the Telstra Sep $3.75 put is $0.12 and the risk margin is $0.07, then the total marg ...
The Relation between information in option prices and short term
... future will move in a particular way. Many private investors find technical analysis appealing since the information needed to perform these analysis is easy to obtain, it is much harder for the individual investor to obtain fundamental information about companies and even harder to use fundamental ...
... future will move in a particular way. Many private investors find technical analysis appealing since the information needed to perform these analysis is easy to obtain, it is much harder for the individual investor to obtain fundamental information about companies and even harder to use fundamental ...
NBER WORKING PAPER SERIES SHOULD WE FEAR DERIVATIVES? Rene M. Stulz
... markets. With that assumption (and, often, some other more technical assumptions), one can find a portfolio strategy that does not use the derivative and only requires an initial investment such that the portfolio pays the same as the derivative at maturity. The portfolio is called a replicating por ...
... markets. With that assumption (and, often, some other more technical assumptions), one can find a portfolio strategy that does not use the derivative and only requires an initial investment such that the portfolio pays the same as the derivative at maturity. The portfolio is called a replicating por ...
Basic Financial Derivatives - Sanjeev Institute of Planning and
... in the underlying assets. In fact, the derivatives can be formed on almost any variable, for example, from the price of hogs to the amount of snow falling at a certain ski resort. The term financial derivative relates with a variety of financial instruments which include stocks, bonds, treasury bil ...
... in the underlying assets. In fact, the derivatives can be formed on almost any variable, for example, from the price of hogs to the amount of snow falling at a certain ski resort. The term financial derivative relates with a variety of financial instruments which include stocks, bonds, treasury bil ...
VIX® as a stock market sentiment indicator
... prices (CBOE 2009b). This index is hosted by Standard & Poor’s and it includes 500 capitalization weighted large-cap common stocks actively traded in the United States. SPX is a good proxy for the U.S. market as a whole since it generalizes the market well. Furthermore, SPX is broad by including wid ...
... prices (CBOE 2009b). This index is hosted by Standard & Poor’s and it includes 500 capitalization weighted large-cap common stocks actively traded in the United States. SPX is a good proxy for the U.S. market as a whole since it generalizes the market well. Furthermore, SPX is broad by including wid ...
Does Academic Research Destroy Stock Return Predictability?*
... each predictor. The average predictor’s long-short return declines by 26% out-of-sample. This 26% estimate is an upper bound on the effect of statistical biases, since some traders are likely to learn about the predictor before publication, and their trading will cause the return decay to be greate ...
... each predictor. The average predictor’s long-short return declines by 26% out-of-sample. This 26% estimate is an upper bound on the effect of statistical biases, since some traders are likely to learn about the predictor before publication, and their trading will cause the return decay to be greate ...