The Impact of Hedging on Firm Value
... have any impact on its value. If financial markets are efficient, hedging activities by the firm does not add any value because the investor would then be able to build such a diversified portfolio that would allow them to eliminate the risks and would make the payment of a premium for the firm adop ...
... have any impact on its value. If financial markets are efficient, hedging activities by the firm does not add any value because the investor would then be able to build such a diversified portfolio that would allow them to eliminate the risks and would make the payment of a premium for the firm adop ...
Equilibrium Pricing and Trading Volume under Preference
... and fund outflows (Coval and Stafford, 2007). As mentioned above, it is in such times of stress that preference uncertainty is likely to be most severe. To cope with the shock, financial firms establish hedges, raise new capital, and adjust positions in several assets and contracts. This process is ...
... and fund outflows (Coval and Stafford, 2007). As mentioned above, it is in such times of stress that preference uncertainty is likely to be most severe. To cope with the shock, financial firms establish hedges, raise new capital, and adjust positions in several assets and contracts. This process is ...
Asian basket options and implied correlations in energy
... To hedge their price exposure, such companies may enter futures transactions on the both long and short sides of their portfolios. However, hedging with options would allow to profit from a possible upside, while limiting the downside risk. An optimal hedge would be achieved in this case by a basket ...
... To hedge their price exposure, such companies may enter futures transactions on the both long and short sides of their portfolios. However, hedging with options would allow to profit from a possible upside, while limiting the downside risk. An optimal hedge would be achieved in this case by a basket ...
Trading and Returns under Periodic Market Closures
... of the liquidity traders to time their trade of given sizes. But they do not provide a complete justification for the behavior of liquidity traders. For example, trade sizes are exogenously specified and not all investors can time their trade. See also Spiegel and Subrahmanyan (1995). Our model diff ...
... of the liquidity traders to time their trade of given sizes. But they do not provide a complete justification for the behavior of liquidity traders. For example, trade sizes are exogenously specified and not all investors can time their trade. See also Spiegel and Subrahmanyan (1995). Our model diff ...
Intraday Returns and the Day-end Effect: Evidence from
... managers, speculators and daily traders with large amount money to change the closing prices. If a fund manager takes a big net position for his client over the trading day, there is always a possibility that he will likely attempt to change the closing price in his clients favor. He will place a bu ...
... managers, speculators and daily traders with large amount money to change the closing prices. If a fund manager takes a big net position for his client over the trading day, there is always a possibility that he will likely attempt to change the closing price in his clients favor. He will place a bu ...
Make and Take Fees in the US Equity Market
... k where k > i. If a rival increases its fee, the nominal fee remains unchanged while the relativeto-rivals fee on an exchange decreases, since its fee has become increasingly more attractive compared to its rivals’ fee. Analogously, if a rival decreases its fee, the relative-to-rivals fee on an exch ...
... k where k > i. If a rival increases its fee, the nominal fee remains unchanged while the relativeto-rivals fee on an exchange decreases, since its fee has become increasingly more attractive compared to its rivals’ fee. Analogously, if a rival decreases its fee, the relative-to-rivals fee on an exch ...
Notice of the Ministry of Labor and Social Security and China
... end of a day in the clearing reserve account of a clearing participant shall not be lower than the minimum limitation of clearing reserve as checked and ratified by the China Clearing Corporation. Article 19 The securities transactions on enterprise annuity fund shall be carried out through special ...
... end of a day in the clearing reserve account of a clearing participant shall not be lower than the minimum limitation of clearing reserve as checked and ratified by the China Clearing Corporation. Article 19 The securities transactions on enterprise annuity fund shall be carried out through special ...
Measuring and Modeling Execution Cost and Risk
... however, are disconnected from transaction costs faced in practice since they neglect any notion of risk. Specifically, a buy order could be filled by submitting a market order and paying a price near the ask. Alternatively, the order could be submitted as a limit order and either execute at a bette ...
... however, are disconnected from transaction costs faced in practice since they neglect any notion of risk. Specifically, a buy order could be filled by submitting a market order and paying a price near the ask. Alternatively, the order could be submitted as a limit order and either execute at a bette ...
The Option Greeks and Market Making
... • Quantifying greeks is straightforward for most options, even exotics. They are obtained analytically (also known as “closed form”) by solving for the partial derivatives, or they can be estimated through a variety of numerical methods (e.g., reading the delta off of a binomial tree). • Software de ...
... • Quantifying greeks is straightforward for most options, even exotics. They are obtained analytically (also known as “closed form”) by solving for the partial derivatives, or they can be estimated through a variety of numerical methods (e.g., reading the delta off of a binomial tree). • Software de ...
Electronic Market-Makers: Empirical Comparison
... Market-making has also been adopted as a test-bed for new Machine Learning techniques [14] with a goal to demonstrate the general effectiveness of a learning algorithm, as opposed to treating market-making as a problem that requires solving. Also, empirical work has demonstrated the limitations of h ...
... Market-making has also been adopted as a test-bed for new Machine Learning techniques [14] with a goal to demonstrate the general effectiveness of a learning algorithm, as opposed to treating market-making as a problem that requires solving. Also, empirical work has demonstrated the limitations of h ...
Smoking or trading ? On cigarette money in post WW2
... of rapidly rising prices destroying the value of money, a money without value has tended to destroy the function of prices. To an increasing degree the Reichsmark prices of good have become subsidiary and formal appendages of purchase and sale transactions or have even been eliminated entirely from ...
... of rapidly rising prices destroying the value of money, a money without value has tended to destroy the function of prices. To an increasing degree the Reichsmark prices of good have become subsidiary and formal appendages of purchase and sale transactions or have even been eliminated entirely from ...
The Effects of Capital Structure Change on Security Prices
... approximations to pure capital structure changes: intra-firm exchange offers and recapitalizations. These two events are unique in that they do not entail any firm cash inflows or outflows (with the exception of expenses), while they cause major changes in the firm's capital structure. These changes ...
... approximations to pure capital structure changes: intra-firm exchange offers and recapitalizations. These two events are unique in that they do not entail any firm cash inflows or outflows (with the exception of expenses), while they cause major changes in the firm's capital structure. These changes ...
A monthly effect in stock returns - DSpace@MIT
... t-statistics (i.e., the significant positive return periods clustered in the first half of trading months, and significant negative return periods ...
... t-statistics (i.e., the significant positive return periods clustered in the first half of trading months, and significant negative return periods ...
Financial Statement Analysis and Security Valuation
... Investments in debt securities should be classified as held-to-maturity only if the reporting enterprise has the positive intent and ability to hold those securities to maturity. An enterprise should not classify a debt security as held-to-maturity if it intends to hold the security for only an inde ...
... Investments in debt securities should be classified as held-to-maturity only if the reporting enterprise has the positive intent and ability to hold those securities to maturity. An enterprise should not classify a debt security as held-to-maturity if it intends to hold the security for only an inde ...
Issues in assessing trade execution costs
... average trade price (after commissions and fees) for an investor’s order to a reference price (e.g. the quote midpoint) at the time of the trading decision. Although investors could conceivably construct such a measure for their own trades, researchers and regulators who are interested in measuring ...
... average trade price (after commissions and fees) for an investor’s order to a reference price (e.g. the quote midpoint) at the time of the trading decision. Although investors could conceivably construct such a measure for their own trades, researchers and regulators who are interested in measuring ...
Locals, foreigners, and multi-market trading of equities: Intraday
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
Tax Treatment of Derivatives
... property is “actively traded”, the regulations set forth a number of factors that a taxpayer must look to, depending on the type of property in question. See Treas. Reg. section 1.1092(d)-1. See section 1092(c)(3) (flush language). The presumption is potentially subject to rebuttal, although no clar ...
... property is “actively traded”, the regulations set forth a number of factors that a taxpayer must look to, depending on the type of property in question. See Treas. Reg. section 1.1092(d)-1. See section 1092(c)(3) (flush language). The presumption is potentially subject to rebuttal, although no clar ...
Catastrophe Insurance Products in Markov Jump Diffusion Model
... the futures contract stopped trading in 1995 and no “transaction time” can be derived from them in order to price options. Geman and Yor (1997) represent the dynamics of is directly modeled as a geometric Brownian motion plus a Poisson process with constant jump sizes and then derive the PCS call pr ...
... the futures contract stopped trading in 1995 and no “transaction time” can be derived from them in order to price options. Geman and Yor (1997) represent the dynamics of is directly modeled as a geometric Brownian motion plus a Poisson process with constant jump sizes and then derive the PCS call pr ...
Do retail traders suffer from high frequency traders?
... by trading as fast as technology allows. Many of the trading strategies employed by HFTs involve sending a large number of orders over short time intervals. HFT order submission and cancellation activities may impose externalities on other traders, market centres and regulators as they strain the tr ...
... by trading as fast as technology allows. Many of the trading strategies employed by HFTs involve sending a large number of orders over short time intervals. HFT order submission and cancellation activities may impose externalities on other traders, market centres and regulators as they strain the tr ...
PDF
... The main goal of previous research was to analyze the performance of advisory services as a group and less attention was given to differences in performance across services. In this context, an important unanswered question is whether there are unique characteristics of services that can be used to ...
... The main goal of previous research was to analyze the performance of advisory services as a group and less attention was given to differences in performance across services. In this context, an important unanswered question is whether there are unique characteristics of services that can be used to ...
Gains from Stock Exchange Integration: The
... This paper seeks to quantify these efficiency gains and their impact on users by studying the evidence from the integration between the French, Belgian, Dutch and Portuguese stock exchanges to form Euronext, which took place between September 2000 and November 2003. This experiment makes it possible ...
... This paper seeks to quantify these efficiency gains and their impact on users by studying the evidence from the integration between the French, Belgian, Dutch and Portuguese stock exchanges to form Euronext, which took place between September 2000 and November 2003. This experiment makes it possible ...
Using Prediction Markets to Track Information Flows
... that even if the market participants were not representative of Google, the people they were sharing information with might be more so. These results contribute to three quite different literatures: on the role of optimism in entrepreneurial firms, on employee communication in organizations, an ...
... that even if the market participants were not representative of Google, the people they were sharing information with might be more so. These results contribute to three quite different literatures: on the role of optimism in entrepreneurial firms, on employee communication in organizations, an ...
Prudential Standard CPS 226 Margining and risk mitigation for non
... currency/rates, (2) equity, (3) credit, and (4) commodities. The asset class ‘currency/rates’ includes currency, interest rate and inflation derivatives; ...
... currency/rates, (2) equity, (3) credit, and (4) commodities. The asset class ‘currency/rates’ includes currency, interest rate and inflation derivatives; ...
decentralized trade mitigates the lemons problem
... competitive model does not accurately describe outcomes in decentralized markets with adverse selection when average quality is low even if frictions are small: Whereas the competitive model predicts that only low quality trades and that all trade is at one price, with decentralized trade both quali ...
... competitive model does not accurately describe outcomes in decentralized markets with adverse selection when average quality is low even if frictions are small: Whereas the competitive model predicts that only low quality trades and that all trade is at one price, with decentralized trade both quali ...
Adverse Selection and Competitive Market Making
... restrictions on quotes and depths in the limit order book implied by the theoretical model. I nd strong evidence of insucient depth in the limit order books relative to the model predictions. For most stocks, an extended version of the model with a state dependent market order distribution predict ...
... restrictions on quotes and depths in the limit order book implied by the theoretical model. I nd strong evidence of insucient depth in the limit order books relative to the model predictions. For most stocks, an extended version of the model with a state dependent market order distribution predict ...