Results 41 to 50 of about 855,132 (178)
Journal of Futures Markets, EarlyView.ABSTRACT In this paper, we investigate alternative one‐factor and two‐factor continuous‐time models with both affine and non‐affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non‐affine feature and the multi‐factor ...
Yifan Ye, Zheqi Fan, Xinfeng Ruan
wiley +1 more source
Filtration enlargement‐based time series forecast in view of insider trading
Journal of Economic Surveys, Volume 37, Issue 1, Page 112-140, February 2023., 2023 Abstract This survey reviews filtration enlargement models in view of insider trading. Although filtration enlargement aptly models insiders' informational advantage, the theoretical results have not attracted the attention of the empiricists, owing mainly to the lack of a bridge transforming the results to testable hypotheses, and/or the absence of ...
Luke M. Bennett, Wei Hu
wiley +1 more source
The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns
Journal of Futures Markets, EarlyView.ABSTRACT This paper, using the natural logarithmic form credit default swap (log CDS) slope, examines the variation in cross‐sectional 1‐month ATM delta‐hedged straddle returns. Our analysis reveals that the log CDS slope significantly and positively predicts these returns, even when accounting for several key volatility mispricing factors.
Hao Zhang +4 more
wiley +1 more source
Virtual Arbitrage Pricing Theory [PDF]
arXiv, 1999 We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities.
arxiv
Effects of QE on sovereign bond spreads through the safe asset channel
International Journal of Finance &Economics, EarlyView.Abstract We show that through the safe asset channel the excess liquidity created by large scale asset purchases (QE) can lead to higher sovereign bond spreads in the euro area. This unintended effect is most likely in volatile market conditions when excess liquidity spurs demand for tradeable safe assets, pushing down the interest rate of these assets,
Jan Willem van den End
wiley +1 more source
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing [PDF]
arXiv, 2017 We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the representative agent is not a semimartingale, which leads to arbitrage opportunities for the option seller.
arxiv
Rational Finance Approach to Behavioral Option Pricing [PDF]
arXiv, 2020 When pricing options, there may be different views on the instantaneous mean return of the underlying price process. According to Black (1972), where there exist heterogeneous views on the instantaneous mean return, this will result in arbitrage opportunities. Behavioral finance proponents argue that such heterogenous views are likely to occur and this
arxiv
Banking market consolidation in Asia: Evidence from acquirers, targets, and rivals
International Journal of Finance &Economics, EarlyView.Abstract We analyse the financial sector consolidation in Asia by using a comprehensive sample of bank M&As from 1995 to 2021. Our results show that M&A announcements by Asian domestic acquirers are associated with significant positive stock price returns to both acquirers and their rivals.
Sascha Kolaric +2 more
wiley +1 more source
The impact of cryptocurrency heists on Bitcoin's market efficiency
International Journal of Finance &Economics, EarlyView.Abstract Within the adaptive market hypothesis (AMH) framework, this study explores the dynamic impact of cryptocurrency heists on Bitcoin's market efficiency. By analysing Bitcoin's one‐minute price data, we calculate permutation entropy to assess market disorder and employ the complexity‐entropy causality plane to quantify structural changes in the ...
Mingnan Li, Viktor Manahov, John Ashton
wiley +1 more source
The Validity of the Arbitrage Pricing Theory in the Jordanian Stock Market
, 2012 This paper aims to test the validity and applicability of the Arbitrage Pricing Theory (APT) in Amman Stock Exchange (ASE) during the period 2001-2011.
I. Z. Ramadan
semanticscholar +1 more source