Results 111 to 120 of about 855,132 (178)
Deposit Competition and Mortgage Securitization
Journal of Money, Credit and Banking, EarlyView.Abstract We study how deposit competition affects a bank's decision to securitize mortgages. Exploiting the state‐specific removal of deposit market caps across the U.S. as a source of competition, we find a 7.1 percentage point increase in the probability that banks securitize mortgage loans.
DANNY MCGOWAN +2 more
wiley +1 more source
Arbitrage and Control Problems in Finance. Presentation. [PDF]
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model.
Elyès Jouini
core
A market resilient data-driven approach to option pricing [PDF]
arXivIn this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical treatment, we derive a common representation space for achieving domain adaptation. The success of an implementation of this idea is shown using some real data.
arxiv
Investor Sentiment, Managerial Manipulation, and Stock Returns
Journal of Money, Credit and Banking, EarlyView.Abstract The degree of earnings manipulation has been shown to be positively associated with stock returns at the aggregate level but negatively so in the cross‐ section. We examine, both theoretically and empirically, the role of investor sentiment in accounting for such relations.
JIAJUN JIANG, QI LIU, BO SUN
wiley +1 more source
Arbitrage pricing theory: evidence from an emerging stock market [PDF]
The development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Haider, Aziz, Iqbal, Javed
core +1 more source
The effect of bubbles on production: The state of the literature
Journal of Economic Surveys, EarlyView.Abstract In this paper, a comprehensive review is carried out on the strand of the literature related to the effects of bubbles on production, which includes the scarce empirical literature. The content is structured according to the bubble phase, since a major part of the literature considers that during the boom, there can be a crowding‐in effect ...
Cristhian Fernández‐González +2 more
wiley +1 more source
Why do famines still occur in the 21st Century? A review on the causes of extreme food insecurity
Journal of Economic Surveys, EarlyView.Abstract Why do famines persist in the 21st century, despite significant advances in agricultural productivity? Throughout human history, famines have been – and continue to be – among the harshest manifestations of destitution. They result from the exacerbation of human vulnerabilities caused by the synergistic interaction of multiple anthropogenic ...
Sergio Tezanos‐Vázquez
wiley +1 more source
Essays in statistical arbitrage
, 2014 This three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk.
Alsayed, Hamad
core
Mergers and Attributions: An Examination of M&A Terminations in 1996–2022
Journal of Management Studies, EarlyView.Abstract Firms often make attributions regarding their actions in managing relationships with shareholders and investors. While research utilizing attribution theory has found that firms tend to attribute negative outcomes to external factors and positive outcomes to internal ones, this behaviour can have both positive and negative consequences ...
Zhe (Adele) Xing, Xiwei Yi
wiley +1 more source
Contingent Claim Pricing In A Dual Expected Utility Theory Framework [PDF]
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets.
Andrea Gheno, Massimiliano Corradini
core