Results 111 to 120 of about 708 (257)

On the Schwartz Distribution Approach to Local Volatility for European Option in a Generalised Jump Model with Stochastic Interest Rate. [PDF]

Entropy (Basel)
Nowak P, Gatarek D.
europepmc   +1 more source

Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]

PLoS One, 2023
Wu Q, Kuang X, Wu B, Xu X.
europepmc   +1 more source

Firm Size and Momentum Returns: The Roles of Analyst Coverage and Herding Behavior

Financial Markets, Institutions &Instruments, EarlyView.
ABSTRACT Momentum strategies have historically generated excess returns, but their effectiveness noticeably deteriorated in the post‐pandemic period, especially in 2022–23. In this paper, we explore how changes in investor attention during and after the COVID‐19 pandemic may have altered the performance of momentum strategies.
Yiyi Zhang, He He, Qian Guo, Jing Chen
wiley   +1 more source

Perpetual Futures for Stocks: The SpaceX Pre-IPO Market. [PDF]

Entropy (Basel)
Gupta A, Polson NG.
europepmc   +1 more source

The Causal Effect of Parents' Education on Children's Earnings

International Economic Review, EarlyView.
ABSTRACT We develop and estimate a model of endogenous schooling and earnings to isolate the causal effect of parents' education on children's outcomes. Identification uses earnings differences among children with equal schooling whose parents have different schooling.
Sang Yoon (Tim) Lee, Nicolas Roys, Ananth Seshadri   +2 more
wiley   +1 more source

Spatiotemporal bidding for multi-energy systems with photovoltaic dominance: a scenario-based Stackelberg-Nash game formulation. [PDF]

Sci Rep
Qiao H, Wen S, Zhang Y, Zhang J, Li K.
europepmc   +1 more source

The expected inflation risk premium in the U.S. stock market

Journal of Financial Research, EarlyView.
Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau, Gabriel J. Power, Garrett C. C. Smith   +2 more
wiley   +1 more source

Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]

PLoS One
Huynh TT, Khoa BT.
europepmc   +1 more source

Investor sentiment and stock market returns: A comparative analysis of mood, word, and trade

Journal of Financial Research, EarlyView.
Abstract We examine and compare the return predictability of mood‐, word‐, and trade‐based sentiment measures across 18 international stock markets. Empirical results reveal that the trade‐based measure performs strongly across many settings; the word‐based measure contributes important complementary information, including in cases where the trade ...
Lan Xiang, Wenzhao Wang
wiley   +1 more source

Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]

Entropy (Basel)
Nowak P, Gatarek D.
europepmc   +1 more source