Results 101 to 110 of about 855,132 (178)
Option pricing for Informed Traders [PDF]
arXiv, 2017 In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as well as theoretical issues such as asymmetric information and the presence of limited arbitrage ...
arxiv
Time Zone Difference and Equity Market Price Efficiency Post‐Earnings Announcements
European Financial Management, EarlyView.ABSTRACT This study investigates whether differences in investors' time zones affect stocks' price efficiency post‐earnings announcements on the Australian Securities Exchange. We examine how stocks heavily held by investors in a time zone significantly behind the exchange time zone respond to earnings announcements, compared to stocks that are not ...
Anil Gautam, Grace Lepone
wiley +1 more source
A general equilibrium financial asset economy with transaction costs and trading constraints [PDF]
, 2003 This paper presents a unified framework for examining the general equilibrium effects of transactions costs and trading constraints on security market trades and prices.
Milne, Frank, Neave, Edwin
core
Disagreement and returns: The case of cryptocurrencies
Financial Management, EarlyView.Abstract We present the first evidence of investor‐trading‐based disagreement's influence on cross‐sectional cryptocurrency daily returns. We interpret abnormal trading volume as investor disagreement and find evidence in support of Miller's disagreement model: when short‐sale constraints are binding, high abnormal volume (high disagreement) assets ...
Jon A. Garfinkel +2 more
wiley +1 more source
Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, EarlyView.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source
Non-Linear Asset Valuation on Markets with Frictions [PDF]
This paper provides a non-linear pricing rule for the valuation of assets on financial markets with intermediaries.The non-linearity arises from the fact that dealers charge a price for their intermediation between buyer and seller.
De Waegenaere, A.M.B. +2 more
core +1 more source
ETFs and the price volatility of underlying bonds
Financial Review, EarlyView.Abstract We investigate whether exchange traded funds (ETFs) distort bond prices or increase price volatility. Contrary to concerns, we find that ETF ownership of corporate bonds is linked to reduced price volatility, likely due to ETFs absorbing bond illiquidity.
Anna Agapova +2 more
wiley +1 more source
Bond mutual fund performance: Evidence from the skill ratio and false discovery rate
Financial Review, EarlyView.Abstract This paper applies a Skill Ratio under a False Discovery Rate (FDR) framework to bond mutual funds showing many bonds mutual fund managers are skilled primarily to the benefit of fund sponsors. Our Skill Ratio is the t‐statistic of realized gross value added (RVAG)$( {{\mathrm{RV}}{{\mathrm{A}}_{\mathrm{G}}}} )$ based on investible Morningstar
Lifa Huang +2 more
wiley +1 more source
An Interview With Peter Rousseeuw
International Statistical Review, EarlyView.Summary Peter J. Rousseeuw is a statistician known mainly for his work on robust statistics and cluster analysis. Among his creations are least trimmed squares regression, the minimum covariance determinant estimator, the partitioning around medoids clustering method and the silhouettes graphical display.
Mia Hubert
wiley +1 more source
On the mean-standard deviation frontier [PDF]
This paper presents a characterization of the mean standard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF.
Eneas A. Caldiño
core