Essays in Financial Economics Sergey Iskoz
... This thesis consists of three essays on various topics in Financial Economics. Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth re ...
... This thesis consists of three essays on various topics in Financial Economics. Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth re ...
Examining Volatility Transmission in Major Agricultural Futures
... household spending. The unprecedented price spikes in agricultural commodities during the 2007-2008 food crisis, coupled with shortages and diminishing agricultural stocks, resulted in reduced access to food for millions of poor people in a large number of low income, net food-importing countries. T ...
... household spending. The unprecedented price spikes in agricultural commodities during the 2007-2008 food crisis, coupled with shortages and diminishing agricultural stocks, resulted in reduced access to food for millions of poor people in a large number of low income, net food-importing countries. T ...
CHAPTER 11
... We begin with a simple version of Ross’s model, which assumes that only one systematic factor affects security returns. However, the usual discussion of the APT is concerned with the multifactor case, so we treat this more general case as well. ...
... We begin with a simple version of Ross’s model, which assumes that only one systematic factor affects security returns. However, the usual discussion of the APT is concerned with the multifactor case, so we treat this more general case as well. ...
Leveraged and Inverse ETFs(Slides)
... effects of compounding, so that their risk profiles differ significantly vis-à-vis traditional ETFs Investors should be aware that leveraged and inverse ETFs do not seek to provide returns which are the 2x multiple or -1x inverse of a given index for periods longer than a day. These funds are not s ...
... effects of compounding, so that their risk profiles differ significantly vis-à-vis traditional ETFs Investors should be aware that leveraged and inverse ETFs do not seek to provide returns which are the 2x multiple or -1x inverse of a given index for periods longer than a day. These funds are not s ...
How volatile are East Asian stocks during high volatility periods?*
... Table 2 presents the estimation results where two volatility states, a low and a high state, are assumed. Figure 2 shows the graph of the smoothed probability of being in a high volatility state. The shaded portion of the diagrams covers the start of the Asian crisis up to the end of the study’s sam ...
... Table 2 presents the estimation results where two volatility states, a low and a high state, are assumed. Figure 2 shows the graph of the smoothed probability of being in a high volatility state. The shaded portion of the diagrams covers the start of the Asian crisis up to the end of the study’s sam ...
Effects of level of investors confidence and herding behavior on
... exchange and published as an index. I assume that although the daily change in a stock price changes the market value of its company, the composition of the stock market portfolio as published by the stock exchange is checked and adjusted not on a daily basis, but at most, once a month (or even once ...
... exchange and published as an index. I assume that although the daily change in a stock price changes the market value of its company, the composition of the stock market portfolio as published by the stock exchange is checked and adjusted not on a daily basis, but at most, once a month (or even once ...
Chapter 13 Answers
... Even though we are solving for the and expected return of a portfolio of one stock and the risk-free asset for different portfolio weights, we are really solving for the SML. Any combination of this stock, and the risk-free asset will fall on the SML. For that matter, a portfolio of any stock and ...
... Even though we are solving for the and expected return of a portfolio of one stock and the risk-free asset for different portfolio weights, we are really solving for the SML. Any combination of this stock, and the risk-free asset will fall on the SML. For that matter, a portfolio of any stock and ...
Derivatives on RDX USD Index
... Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as w ell as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law . Eurex Zürich AG is a corporate entity and is ...
... Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as w ell as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law . Eurex Zürich AG is a corporate entity and is ...
New Evidence on the Financialization of Commodity Markets*
... CLN issues cause other market participants to make inferences about the issuers’ information. Third, the offering documents include the CLNs’ pricing and determination dates and indicate they were priced at the close of regular trading in the underlying commodity futures. Since the issuers pass inve ...
... CLN issues cause other market participants to make inferences about the issuers’ information. Third, the offering documents include the CLNs’ pricing and determination dates and indicate they were priced at the close of regular trading in the underlying commodity futures. Since the issuers pass inve ...
21 CANDLESTICKS EVERY TRADER SHOULD KNOW
... A chart may be thought of as picture of the war between supply and demand. When a stock is moving up, the buyers are in control. There is more demand than supply. Purchasers are eager to acquire the stock and will pay up, hitting the ask price to do so. When a stock is declining, the reverse is tru ...
... A chart may be thought of as picture of the war between supply and demand. When a stock is moving up, the buyers are in control. There is more demand than supply. Purchasers are eager to acquire the stock and will pay up, hitting the ask price to do so. When a stock is declining, the reverse is tru ...
The Effect of the Quality of Rumors On Market Yields
... concerning a future event relating to the company) and a single rumor company (a company with only one rumor as to a future event) we can say that there is no significant difference between the two cases in the period before the event. This continues to be the case on the day that the rumor enters t ...
... concerning a future event relating to the company) and a single rumor company (a company with only one rumor as to a future event) we can say that there is no significant difference between the two cases in the period before the event. This continues to be the case on the day that the rumor enters t ...
Day Trading the Currency Market
... “I thought this was one of the best books that I had read on FX. The book should be required reading not only for traders new to the foreign exchange markets, but also for seasoned professionals. I’ll definitely be keeping it on my desk for reference. The book is very readable and very educational. ...
... “I thought this was one of the best books that I had read on FX. The book should be required reading not only for traders new to the foreign exchange markets, but also for seasoned professionals. I’ll definitely be keeping it on my desk for reference. The book is very readable and very educational. ...
Options on Fed funds futures and interst rate volatity
... options on Fed Funds futures on the volatility in underlying markets: the Fed Funds spot and Fed Funds futures. Since their introduction on March 14, 2003, CBOT options1 on the Fed Funds futures have become increasingly popular2 for risk management. The possibility that the volatility in the primary ...
... options on Fed Funds futures on the volatility in underlying markets: the Fed Funds spot and Fed Funds futures. Since their introduction on March 14, 2003, CBOT options1 on the Fed Funds futures have become increasingly popular2 for risk management. The possibility that the volatility in the primary ...
Multi-Period Trading via Convex Optimization
... full dynamic programming trading policy, the performance loss is likely very small in practical problems, for several reasons. In [10], the authors developed a numerical bounding method that quantifies the loss of optimality when using a simplified approach, and found it to be very small in numerica ...
... full dynamic programming trading policy, the performance loss is likely very small in practical problems, for several reasons. In [10], the authors developed a numerical bounding method that quantifies the loss of optimality when using a simplified approach, and found it to be very small in numerica ...
Chapter 10 - personal.kent.edu
... Ignoring trading costs, on average, such investors merely earn what the market offers; the trades all have zero NPV. If trading costs exist, then these investors lose by the amount of the costs. ...
... Ignoring trading costs, on average, such investors merely earn what the market offers; the trades all have zero NPV. If trading costs exist, then these investors lose by the amount of the costs. ...
Comomentum: Inferring Arbitrage Activity from Return
... forecasts based on signals that they privately observe about future …rm fundamentals. Given only newswatchers, prices slowly adjust to new information, generating underreaction but never overreaction. As in Hong and Stein (1999), Stein (2009) adds boundedly-rational arbitrageurs who are simple momen ...
... forecasts based on signals that they privately observe about future …rm fundamentals. Given only newswatchers, prices slowly adjust to new information, generating underreaction but never overreaction. As in Hong and Stein (1999), Stein (2009) adds boundedly-rational arbitrageurs who are simple momen ...
14-0187 Attachment - Settlement Agreement - Afam Elue
... investment dealers and trading activity on debt and equity marketplaces in Canada. Created in 2008 through the consolidation of the Investment Dealers Association of Canada and Market Regulation Services Inc., IIROC sets high quality regulatory and investment industry standards, protects investors a ...
... investment dealers and trading activity on debt and equity marketplaces in Canada. Created in 2008 through the consolidation of the Investment Dealers Association of Canada and Market Regulation Services Inc., IIROC sets high quality regulatory and investment industry standards, protects investors a ...
Issue 1. Volatility as an Asset Class and Dynamic Asset Allocation
... In practice the determination as to how much volatility to add is part of a larger strategic asset allocation and portfolio construction exercise, as other objectives, risk constraints and considerations need to be taken into account. It is also important to note that we would not hold a static perc ...
... In practice the determination as to how much volatility to add is part of a larger strategic asset allocation and portfolio construction exercise, as other objectives, risk constraints and considerations need to be taken into account. It is also important to note that we would not hold a static perc ...
Strategic Informed Trades, Diversification, and Expected Returns*
... fraction of overall trade in the security.5 This causes uninformed traders to behave as price takers. At the margin, prices depend on diversified uninformed traders’ demands and, therefore, include risk premiums only for non-diversifiable risk. If, at the margin, an uninformed trader were to infer t ...
... fraction of overall trade in the security.5 This causes uninformed traders to behave as price takers. At the margin, prices depend on diversified uninformed traders’ demands and, therefore, include risk premiums only for non-diversifiable risk. If, at the margin, an uninformed trader were to infer t ...
Decimals and Liquidity: A study of the NYSE
... the specialist (for an analysis of quotes from the limit order book and specialist see Chung, Van Ness, and Van Ness 1999). Such competition can also come from the regional stock exchanges posting quotes simultaneously in those stocks. In short, BBOs are generated by the specialist and public limit ...
... the specialist (for an analysis of quotes from the limit order book and specialist see Chung, Van Ness, and Van Ness 1999). Such competition can also come from the regional stock exchanges posting quotes simultaneously in those stocks. In short, BBOs are generated by the specialist and public limit ...
Macroeconomic Factors and the Indian Stock Market
... influenced by economic fundamentals. Changes in macroeconomic conditions affect current and future investment decisions i.e., an inflation shock may result in a change in the expected return of an asset. Most popular models to determine stock returns in finance textbooks are CAPM and arbitrage prici ...
... influenced by economic fundamentals. Changes in macroeconomic conditions affect current and future investment decisions i.e., an inflation shock may result in a change in the expected return of an asset. Most popular models to determine stock returns in finance textbooks are CAPM and arbitrage prici ...
Sample pages 1 PDF
... Suppose the hedge fund will sell the stock for a profit of at least $100,000 if the value of the stock rises to at least $1,100,000 at the end of one of the first 100 trading days, sell it for a loss if the value falls below $950,000 at the end of one of the first 100 trading days, or sell after 100 tr ...
... Suppose the hedge fund will sell the stock for a profit of at least $100,000 if the value of the stock rises to at least $1,100,000 at the end of one of the first 100 trading days, sell it for a loss if the value falls below $950,000 at the end of one of the first 100 trading days, or sell after 100 tr ...
Endogenous Tick Sizes, Bid-Ask Spreads, Depth, and Trading Volumes
... in local currency, SET tick sizes for different price groups (in Thai baht). Also shown are relative tick sizes, i.e., the ratio of the tick size to share price. The table shows the median, minimum, and maximum tick-to-price ratios. It becomes evident that the SET expanded the number of price ranges ...
... in local currency, SET tick sizes for different price groups (in Thai baht). Also shown are relative tick sizes, i.e., the ratio of the tick size to share price. The table shows the median, minimum, and maximum tick-to-price ratios. It becomes evident that the SET expanded the number of price ranges ...
RW7eCh13 - U of L Class Index
... (LO3) If the market expected the growth rate in the coming year to be 2 percent, then there would be no change in security prices if this expectation had been fully anticipated and priced. However, if the market had been expecting a growth rate different than 2 percent and the expectation was incorp ...
... (LO3) If the market expected the growth rate in the coming year to be 2 percent, then there would be no change in security prices if this expectation had been fully anticipated and priced. However, if the market had been expecting a growth rate different than 2 percent and the expectation was incorp ...