documento de trabajo 99-05
... minimising risk of loss. The basic idea is that "prices moves in trends which are determined by changing attitudes of investors toward a variety of economic, monetary, political and psychological forces" (Pring, 1991, p. 2). Although technical trading rules have been used in financial markets for ov ...
... minimising risk of loss. The basic idea is that "prices moves in trends which are determined by changing attitudes of investors toward a variety of economic, monetary, political and psychological forces" (Pring, 1991, p. 2). Although technical trading rules have been used in financial markets for ov ...
Investor Psychology and Security Market Under- and
... returns. Consistent with this implication, many events studied in the empirical literature can reasonably be viewed as being responsive to mispricing, and have the abnormal return pattern discussed above. Section II.B.4 offers several additional implications about the occurrence of and price pattern ...
... returns. Consistent with this implication, many events studied in the empirical literature can reasonably be viewed as being responsive to mispricing, and have the abnormal return pattern discussed above. Section II.B.4 offers several additional implications about the occurrence of and price pattern ...
Should Dark Pools Improve Upon Visible Quotes
... Abstract Dark pools—trading systems that do not publicly display orders—fill orders at a price better than the prevailing displayed quote, but do not guarantee execution. This improvement is known as the “trade-at rule”. I develop a model to examine the impact of dark pool trade-at rules. In my mode ...
... Abstract Dark pools—trading systems that do not publicly display orders—fill orders at a price better than the prevailing displayed quote, but do not guarantee execution. This improvement is known as the “trade-at rule”. I develop a model to examine the impact of dark pool trade-at rules. In my mode ...
Equity Compensation Seminar Slides
... Black-Scholes is the most broadly used and practical model for valuing employee stock options for decision support because the assumptions used are less complicated than alternatives The Binomial model is an alternative to BlackScholes that financial experts believe can produce lower values for expe ...
... Black-Scholes is the most broadly used and practical model for valuing employee stock options for decision support because the assumptions used are less complicated than alternatives The Binomial model is an alternative to BlackScholes that financial experts believe can produce lower values for expe ...
Hedging Strategies Using Futures
... Gain: $59-$55 = $4 per barrel ($4 million in total) Suppose the price of oil on Aug 15 is $65 per barrel. Loss: $65-$59 = $6 per barrel. In all cases, the company ends up with app. $59 million. ...
... Gain: $59-$55 = $4 per barrel ($4 million in total) Suppose the price of oil on Aug 15 is $65 per barrel. Loss: $65-$59 = $6 per barrel. In all cases, the company ends up with app. $59 million. ...
A Model of Competitive Stock Trading Volume Jiang Wang
... heterogeneous investment opportunities and asymmetric information. These two types of heterogeneity give rise to different dynamic relations between volume and returns. Without information asymmetry, investors trade only to rebalance their portfolios when their private investment opportunity changes ...
... heterogeneous investment opportunities and asymmetric information. These two types of heterogeneity give rise to different dynamic relations between volume and returns. Without information asymmetry, investors trade only to rebalance their portfolios when their private investment opportunity changes ...
1 DETERMINANTS OF VIOLATION OF PUT
... Option contract is one of the variants of derivative contracts. Option contacts give its holder the right, but not the obligation, to buy or sell a specified quantity of the underlying asset for a certain agreed price (exercise/strike price) on or befor some specified future date (expiration date). ...
... Option contract is one of the variants of derivative contracts. Option contacts give its holder the right, but not the obligation, to buy or sell a specified quantity of the underlying asset for a certain agreed price (exercise/strike price) on or befor some specified future date (expiration date). ...
Cash Dividend Announcement Effect: Evidence from Dhaka Stock
... researcher had found evidence of 0.21 percent average excess return over the three-day cash dividend announcement period. For the lowest decile of firm size (stock price), the average excess return was 0.67 (0.61) percent, while the corresponding average for the highest decile of firm size (stock pr ...
... researcher had found evidence of 0.21 percent average excess return over the three-day cash dividend announcement period. For the lowest decile of firm size (stock price), the average excess return was 0.67 (0.61) percent, while the corresponding average for the highest decile of firm size (stock pr ...
Firms are
... Why would the smaller firms follow the dominant firm? 1) Fear retaliation of the dominant firm if they attempt to gain market share through cutting price. Dominant firm could practice Predatory pricing... ...cutting price far enough below average costs to put rival firms out of business (illegal in ...
... Why would the smaller firms follow the dominant firm? 1) Fear retaliation of the dominant firm if they attempt to gain market share through cutting price. Dominant firm could practice Predatory pricing... ...cutting price far enough below average costs to put rival firms out of business (illegal in ...
Risk and Return: The Portfolio Theory The crux of portfolio theory
... implications for the optimal investment strategy . • Implies that all investors will hold combinations of the riskless asset and the market portfolio. • The only difference across investors is in the allocation decision - more risk-averse investors will invest more in the riskless asset, less risk-a ...
... implications for the optimal investment strategy . • Implies that all investors will hold combinations of the riskless asset and the market portfolio. • The only difference across investors is in the allocation decision - more risk-averse investors will invest more in the riskless asset, less risk-a ...
Asymptotic Arbitrage in Large Financial Markets With - HAL
... looks too restrictive and the question about possible extensions to “general” b t ) replaced by an arbitrary adapted cone-valued process models, with (K (Gt ), arises naturally. As pointed out in the book [14], one can find variants of this model which can be imbedded into the former by choosing suf ...
... looks too restrictive and the question about possible extensions to “general” b t ) replaced by an arbitrary adapted cone-valued process models, with (K (Gt ), arises naturally. As pointed out in the book [14], one can find variants of this model which can be imbedded into the former by choosing suf ...
Basics of electricity derivative pricing in competitive markets
... in the electricity system create spikes and jumps in prices that are not included in the possible paths of an It^ o process. A detailed formulation would probably require the use of Poisson jumps and more general class of Lévy processes. The exact formulation of the spot price process is beyond the ...
... in the electricity system create spikes and jumps in prices that are not included in the possible paths of an It^ o process. A detailed formulation would probably require the use of Poisson jumps and more general class of Lévy processes. The exact formulation of the spot price process is beyond the ...
Derivatives Debacles: Case Studies of Large Losses
... was published in 1993 by the Group of Thirty—a group consisting of prominent members of the international financial community and noted academics. The report identified four basic kinds of risks associated with the use of derivatives.1 Market risk is defined as the risk to earnings from adverse move ...
... was published in 1993 by the Group of Thirty—a group consisting of prominent members of the international financial community and noted academics. The report identified four basic kinds of risks associated with the use of derivatives.1 Market risk is defined as the risk to earnings from adverse move ...
Chapter 9 Put and Call Options
... The per-transaction fees can actually vary more than this, but the reason involves payment (or not) of other fees, which will be explained later and in the lecture, but not here. ...
... The per-transaction fees can actually vary more than this, but the reason involves payment (or not) of other fees, which will be explained later and in the lecture, but not here. ...
In the Matters of DELAWARE MANAGEMENT COMPANY, INC
... by Delaware Fund, Inc. (“Delaware”) and Decatur Income Fund, Inc. (“Decatur”), registered openend investment companies, and denying effectiveness to a certain post-effective amendments, as amended, filed by Decatur. 2/ Management is the investment advisers to and principal underwriter for Delaware ...
... by Delaware Fund, Inc. (“Delaware”) and Decatur Income Fund, Inc. (“Decatur”), registered openend investment companies, and denying effectiveness to a certain post-effective amendments, as amended, filed by Decatur. 2/ Management is the investment advisers to and principal underwriter for Delaware ...
The Leverage Rotation Strategy
... In addition to facing margin requirements, certain institutional investors such as pension plans, mutual funds, and endowments are simply unable to borrow money to invest beyond their portfolio’s asset value based on stated mandates and regulatory requirements. For those institutional investors who ...
... In addition to facing margin requirements, certain institutional investors such as pension plans, mutual funds, and endowments are simply unable to borrow money to invest beyond their portfolio’s asset value based on stated mandates and regulatory requirements. For those institutional investors who ...
Managing the Man Overboard Moment
... equivalent branches are directionally the same more than 80 percent of the time. For the other events, the directional overlap is close to 90 percent. The upside of adding refinements is that you can find a base rate that closely matches the case you are considering. The downside is that the sample ...
... equivalent branches are directionally the same more than 80 percent of the time. For the other events, the directional overlap is close to 90 percent. The upside of adding refinements is that you can find a base rate that closely matches the case you are considering. The downside is that the sample ...
How riskless is “riskless” arbitrage?
... (2002) and Liu and Timmermann (2009). “Riskless” arbitrage is defined as the simultaneous sales and purchases of identical assets, which ensures that arbitrageurs require no outlay of personal wealth, but need only set up simultaneous contracts such that the revenue generated from the selling contra ...
... (2002) and Liu and Timmermann (2009). “Riskless” arbitrage is defined as the simultaneous sales and purchases of identical assets, which ensures that arbitrageurs require no outlay of personal wealth, but need only set up simultaneous contracts such that the revenue generated from the selling contra ...
derivatives - Borsa İstanbul
... On 01.05.2015; when the best bid price and best ask price of the option contract expiring in May (O_TRYUSDKE0515C2600S0) are 40.5 and 40.7, you can sell the contract at 40.5 or buy at 40.7. If these market price levels are not adequate for you, you can enter a new order. For example if you enter a b ...
... On 01.05.2015; when the best bid price and best ask price of the option contract expiring in May (O_TRYUSDKE0515C2600S0) are 40.5 and 40.7, you can sell the contract at 40.5 or buy at 40.7. If these market price levels are not adequate for you, you can enter a new order. For example if you enter a b ...
Learning from stock prices and economic growth
... of information induces them to learn more. If the scale effect of information dominates the substitution effect, then investors produce more private information as their income grows, and, as a result, they allocate their labor income more efficiently across the various firms. This enhances the margina ...
... of information induces them to learn more. If the scale effect of information dominates the substitution effect, then investors produce more private information as their income grows, and, as a result, they allocate their labor income more efficiently across the various firms. This enhances the margina ...
The Cost of Immediacy for Corporate Bonds
... give up on large trades altogether. In fact, measured trading costs might decrease, leading to erroneous conclusions about recent regulations. To use an analogy, rules increasing the cost of air travel will induce more travelers to use the bus. By discouraging air travel, such regulation might well ...
... give up on large trades altogether. In fact, measured trading costs might decrease, leading to erroneous conclusions about recent regulations. To use an analogy, rules increasing the cost of air travel will induce more travelers to use the bus. By discouraging air travel, such regulation might well ...
What Causes Herding: Information Cascade or Search Cost ?
... clientele equilibrium where investors with similar cost choose to trade similar assets. The asset with concentrated trading tends to trade at a higher price than one with identical-payoff but require higher trading cost. We find in our study that, in an intra-day time frame, investor herding is not ...
... clientele equilibrium where investors with similar cost choose to trade similar assets. The asset with concentrated trading tends to trade at a higher price than one with identical-payoff but require higher trading cost. We find in our study that, in an intra-day time frame, investor herding is not ...
Arbitrage Opportunities
... with their arbitrage strategies until the maturity of the final payoff. Noise trader risk ((De Long et al., 1990)) occurs when the existence of noise traders causes a further temporary deviation from the fundamental value of the mispriced asset. Arbitrageurs who need to liquidate their positions bec ...
... with their arbitrage strategies until the maturity of the final payoff. Noise trader risk ((De Long et al., 1990)) occurs when the existence of noise traders causes a further temporary deviation from the fundamental value of the mispriced asset. Arbitrageurs who need to liquidate their positions bec ...