Forthcoming, Journal of Empirical Finance Measuring The Market
... Hedge funds often employ opportunistic trading strategies on a leveraged basis. It is natural to find their footprints in most major market events. A "small bet" by large hedge funds can be a sizeable transaction that can impact a market. This study estimates hedge fund exposures during a number of ...
... Hedge funds often employ opportunistic trading strategies on a leveraged basis. It is natural to find their footprints in most major market events. A "small bet" by large hedge funds can be a sizeable transaction that can impact a market. This study estimates hedge fund exposures during a number of ...
A Model of Excess Volatility in Large Markets
... be separately disentangled, and rational traders estimate them by using their private information. Thus, each piece of private information has a secondary role in estimating di¤erent aggregate shocks in prices, in addition to its primary role. Importantly, the secondary role works as a discounting f ...
... be separately disentangled, and rational traders estimate them by using their private information. Thus, each piece of private information has a secondary role in estimating di¤erent aggregate shocks in prices, in addition to its primary role. Importantly, the secondary role works as a discounting f ...
PORTFOLIO CHOICE, LIQUIDITY CONSTRAINTS AND STOCK
... precautionary saving motive to smooth consumption uctuations. When prudence is weak, the impatient consumer accumulates low savings to smooth consumption and the household is liquidity constrained around one third of the time. As a result, the bene t from entering the stock market (even in the pres ...
... precautionary saving motive to smooth consumption uctuations. When prudence is weak, the impatient consumer accumulates low savings to smooth consumption and the household is liquidity constrained around one third of the time. As a result, the bene t from entering the stock market (even in the pres ...
ExamView Pro - Practice Exam #1.tst
... b. a decrease in the price of oil led to a decrease in the price of natural gas c. the supply of oil decreased because of an anticipated rise in the price of oil d. the supply of oil increased, which led college administrators to expect the price of natural gas to rise e. the supply of oil increased ...
... b. a decrease in the price of oil led to a decrease in the price of natural gas c. the supply of oil decreased because of an anticipated rise in the price of oil d. the supply of oil increased, which led college administrators to expect the price of natural gas to rise e. the supply of oil increased ...
Risk Management Lessons from the Credit Crisis
... risk factors, could be incorrect. These fall in the broad category of model risk. As an example of the first problem, many portfolios unexpected lost money on basis trades during 2008. These involve hedged positions. For instance, a trader could buy a corporate bond and at the same time purchase a c ...
... risk factors, could be incorrect. These fall in the broad category of model risk. As an example of the first problem, many portfolios unexpected lost money on basis trades during 2008. These involve hedged positions. For instance, a trader could buy a corporate bond and at the same time purchase a c ...
Food price spikes and strategic interactions
... of decision making means that traders cannot be certain that government will actually do this. Nor can traders be certain of who will be allowed to buy the grain from government if and when it does import, or at what price. These unknowns are major sources of risk and potential financial loss for tr ...
... of decision making means that traders cannot be certain that government will actually do this. Nor can traders be certain of who will be allowed to buy the grain from government if and when it does import, or at what price. These unknowns are major sources of risk and potential financial loss for tr ...
A Model of Intertemporal Asset Prices Under Asymmetric
... 8. With this form of the dividend process, D can take negative values. However, one can make the probability of D reaching negative values as small as any given positive number by choosing the parameter values (see, for example, Campbell and Kyle (1988)). One interpretation for negative dividends is ...
... 8. With this form of the dividend process, D can take negative values. However, one can make the probability of D reaching negative values as small as any given positive number by choosing the parameter values (see, for example, Campbell and Kyle (1988)). One interpretation for negative dividends is ...
ARE BIOFUELS RESPONSIBLE FOR PRICE VOLATILITY AND
... the importing nations. Against this background, the G20 Group therefore agreed at its summit in November 2011, under the French presidency, that agricultural commodity markets required stricter regulation, while proposing measures for curbing prices and hence supposedly safeguarding world food secur ...
... the importing nations. Against this background, the G20 Group therefore agreed at its summit in November 2011, under the French presidency, that agricultural commodity markets required stricter regulation, while proposing measures for curbing prices and hence supposedly safeguarding world food secur ...
Momentum Strategies in Futures Markets and Trend
... number of contracts for the construction of the strategy does not exceed the contemporaneous open interest reported by the Commodity Futures Trading Commission (CFTC) over the period 1986 to 2011. This lack of exceedance can be interpreted as evidence against capacity constraints in time-series mome ...
... number of contracts for the construction of the strategy does not exceed the contemporaneous open interest reported by the Commodity Futures Trading Commission (CFTC) over the period 1986 to 2011. This lack of exceedance can be interpreted as evidence against capacity constraints in time-series mome ...
HOW SWITCHING COSTS CAN MAKE PREDATORY INTERACTIVE’S PREDATORY STRATEGY
... incomplete information. In ‘reputation’ models, a firm responds to competition by setting low prices in order to establish a reputation as a ‘tough’ competitor and deter firms from competing with it in other, related markets. In ‘cost signalling’ models, a predator sets low prices in order to mislea ...
... incomplete information. In ‘reputation’ models, a firm responds to competition by setting low prices in order to establish a reputation as a ‘tough’ competitor and deter firms from competing with it in other, related markets. In ‘cost signalling’ models, a predator sets low prices in order to mislea ...
Earnings Release
... In fact, markets anticipate the delay between the end of the fiscal year and the announcement date because it generally remains constant. According to Trueman (1990), a longer delay in the announcement is interpreted by the market as the fact that the company takes time to hide bad corporate earning ...
... In fact, markets anticipate the delay between the end of the fiscal year and the announcement date because it generally remains constant. According to Trueman (1990), a longer delay in the announcement is interpreted by the market as the fact that the company takes time to hide bad corporate earning ...
Seasons Series Trust - Mid Cap Value Portfolio - Annuities
... The Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs. These costs, which are not reflected in annual portfolio operating expenses or in the example, affect ...
... The Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs. These costs, which are not reflected in annual portfolio operating expenses or in the example, affect ...
The Effectiveness of Sell Discipline Strategies in Institutional Portfolios
... realizing gains and this causes investors to be reluctant to realize losses. Given the reluctance to realize losses, investors may be inclined to hold on to stocks, hoping that they recover. As the prices continue to drop, the investor may feel the price is too low and continue to hold the stock, i ...
... realizing gains and this causes investors to be reluctant to realize losses. Given the reluctance to realize losses, investors may be inclined to hold on to stocks, hoping that they recover. As the prices continue to drop, the investor may feel the price is too low and continue to hold the stock, i ...
- Free Documents
... whereas realized return is the actual return that occurred over some past period. In general, the term risk as used in investments refers to adverse circumstances affecting the investors position. Risk can be defined in several different ways. Risk is defined here as the chance that the actual retur ...
... whereas realized return is the actual return that occurred over some past period. In general, the term risk as used in investments refers to adverse circumstances affecting the investors position. Risk can be defined in several different ways. Risk is defined here as the chance that the actual retur ...
Short Selling Risk - Rady School of Management
... is the quantity of shares loaned out as a percentage of Loan Supply. Finally, Loan Fee, often referred to as specialness, is the cost of borrowing a share in basis points per annum. We use Loan Fee and Utilization to define two measures of short selling risk. The first measure, Fee Risk, is the nat ...
... is the quantity of shares loaned out as a percentage of Loan Supply. Finally, Loan Fee, often referred to as specialness, is the cost of borrowing a share in basis points per annum. We use Loan Fee and Utilization to define two measures of short selling risk. The first measure, Fee Risk, is the nat ...