The Performance of Individual Investors in Structured Financial
... A further and more obvious source of losses for retail structured product investors are transaction costs. This includes indirect transaction costs in the form of the bid/ask spread which is earned by issuers acting in the role of market maker in the secondary market. It also includes direct costs i ...
... A further and more obvious source of losses for retail structured product investors are transaction costs. This includes indirect transaction costs in the form of the bid/ask spread which is earned by issuers acting in the role of market maker in the secondary market. It also includes direct costs i ...
April 18
... • Suppose that a future price is currently trading at 35. A European call option and a European put option on the futures with a strike price of 34 are both priced at 2 in the market today. The risk-free interest rate is 10 percent ...
... • Suppose that a future price is currently trading at 35. A European call option and a European put option on the futures with a strike price of 34 are both priced at 2 in the market today. The risk-free interest rate is 10 percent ...
Intermediary Asset Pricing
... of intermediation on asset prices, the models employed have almost exclusively been static and designed to highlight qualitative effects. Allen and Gale in a number of papers show how the financial structure of intermediaries plays an important role in financial crises (see Allen and Gale, 2005).2 H ...
... of intermediation on asset prices, the models employed have almost exclusively been static and designed to highlight qualitative effects. Allen and Gale in a number of papers show how the financial structure of intermediaries plays an important role in financial crises (see Allen and Gale, 2005).2 H ...
two paradigms and nobel prizes in economics: a contradiction or
... the CAPM is still the most popular asset-pricing model. Thus, it is of crucial importance to study whether these two models can coexist. To this end let us highlight the following differences of PT to EUT. PT asserts that probabilities are distorted. This violates two assumptions of the CAPM: first, ...
... the CAPM is still the most popular asset-pricing model. Thus, it is of crucial importance to study whether these two models can coexist. To this end let us highlight the following differences of PT to EUT. PT asserts that probabilities are distorted. This violates two assumptions of the CAPM: first, ...
Valeant Shares Plunge on Short-Seller Scrutiny of Pharmacy Revenue
... Valeant disclosed last Wednesday that the government requested information on pricing and on programs that help patients cover their out-of-pocket expenses for Valeant's drugs. Those drugs are often distributed by specialty pharmacies. This Monday, during a conference call with investors, Valeant de ...
... Valeant disclosed last Wednesday that the government requested information on pricing and on programs that help patients cover their out-of-pocket expenses for Valeant's drugs. Those drugs are often distributed by specialty pharmacies. This Monday, during a conference call with investors, Valeant de ...
The Impact of the French Securities Transaction Tax on Market
... of causality between STT and market quality. This is possible due to the unique design of the French STT. As the tax is levied only on large French firms – all of them listed on Euronext – this provides two control groups: smaller French firms and foreign firms also listed on Euronext. Hence, we can ...
... of causality between STT and market quality. This is possible due to the unique design of the French STT. As the tax is levied only on large French firms – all of them listed on Euronext – this provides two control groups: smaller French firms and foreign firms also listed on Euronext. Hence, we can ...
Emerging Equity Markets in a Globalizing World
... five-year trailing excess geometric returns in Exhibit 9 show a very large run-up in emerging markets during most of the past decade, and very few negative five-year returns are observed for emerging markets over the last ten years. Note that higher volatility of the emerging market portfolio is n ...
... five-year trailing excess geometric returns in Exhibit 9 show a very large run-up in emerging markets during most of the past decade, and very few negative five-year returns are observed for emerging markets over the last ten years. Note that higher volatility of the emerging market portfolio is n ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... flatter. Consistently, we find that the demand pattern for single-stock options is very different from that of index options. For instance, end users are net short single-stock options – not long, as in the case of index options. Demand patterns further help explain the time-series and cross-section ...
... flatter. Consistently, we find that the demand pattern for single-stock options is very different from that of index options. For instance, end users are net short single-stock options – not long, as in the case of index options. Demand patterns further help explain the time-series and cross-section ...
Market sentiment
Market sentiment is the general prevailing attitude of investors as to anticipated price development in a market. This attitude is the accumulation of a variety of fundamental and technical factors, including price history, economic reports, seasonal factors, and national and world events.For example, if investors expect upward price movement in the stock market, the sentiment is said to be bullish. On the contrary, if the market sentiment is bearish, most investors expect downward price movement. Market sentiment is usually considered as a contrarian indicator: what most people expect is a good thing to bet against. Market sentiment is used because it is believed to be a good predictor of market moves, especially when it is more extreme. Very bearish sentiment is usually followed by the market going up more than normal, and vice versa.Mutual fund flows are very useful.Market sentiment is monitored with a variety of technical and statistical methods such as the number of advancing versus declining stocks and new highs versus new lows comparisons. A large share of overall movement of an individual stock has been attributed to market sentiment The stock market's demonstration of the situation is often described as all boats float or sink with the tide, in the popular Wall Street phrase ""the trend is your friend"".Market sentiment, as such, might be acquired from more than one sentiment analytical tool. For example there could be just simple extraction of movement on stock exchange and validly called market sentiment. Another tool is to extract the news and media information based on their polarity. Yet another sub-subject might be community sentiment about the market movements (blogs, forums).In the last decade, investors are also known to measure market sentiment through the use of news analytics, which include sentiment analysis on textual stories about companies and sectors.The Acertus Market Sentiment Indicator (AMSI) is one indicator of market sentiment. AMSI incorporates five variables. In descending order of weight in the indicator they are Price/Earnings Ratio, a measure of stock market valuations; price momentum, a measure of market psychology; Realized Volatility, a measure of recent historical risk; High Yield Bond Returns, a measure of credit risk; and the TED Spread, a measure of systemic financial risk. Each of these factors provides a measure of market sentiment through a unique lens, and together they may offer a more robust indicator of market sentiment.Additional indicators exist to measure the sentiment specifically of retail Forex market investors. Though the Forex market is decentralized (not traded on a central exchange), various retail Forex brokerage firms publish positioning ratios (similar to the Put/Call ratio) and other data regarding their own clients' trading behavior. Since most retail currency traders are unsuccessful, measures of Forex market sentiment are typically used as contrarian indicators.