Results 51 to 60 of about 53,498 (290)
A general methodology to price and hedge derivatives in incomplete markets
, 1999 We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle.
Aurell, E. +4 more
core +1 more source
Trading Games: Beating Passive Strategies in the Bullish Crypto Market
Journal of Futures Markets, EarlyView.ABSTRACT This study examines the effectiveness of cointegrated pairs trading in cryptocurrency markets, introducing systematic parameter optimization within the trading framework. The analysis is conducted using a dataset comprising ten major cryptocurrencies, selected based on market capitalization and consensus mechanism, spanning the period from ...
Rafael Baptista Palazzi
wiley +1 more source
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours
Journal of Futures Markets, EarlyView.ABSTRACT This paper explores the trading dynamics of the options market during extended trading hours (ETHs). During ETH, the options market is characterized by low liquidity and decreased trading activities, yet there is an increased likelihood of informed trading. The introduction of ETH improves overall market liquidity on the following trading day,
Liangyi Mu, Arie E. Gozluklu
wiley +1 more source
Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]
, 2005 Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
core +3 more sources
Determinants of Dividend Payout Policy: More Evidence From Emerging Markets of G20 Bloc
International Journal of Finance &Economics, EarlyView.ABSTRACT The purpose of this article is to examine the key factors influencing dividend payout policy in emerging markets, using a quantitative approach with a sample of 938 firms and 19,698 firm‐year observations. The study considers dividends, and share repurchases as elements of payout, analysing the effect of earnings, taxes, debt, size and free ...
Wagner Dantas de Souza Junior +2 more
wiley +1 more source
Jurnal Ekonomi & Studi Pembangunan, 2018 This research attempts to analyze risk and stock return of consumer sector and construction sector at Indonesian Stock Exchange. This research used the documentation method to collect the data. Data has been taken from Bloomberg Terminal.
Christian Christian, Rinaldi Rustam
doaj
Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou +2 more
wiley +1 more source
Arbitrage pricing theory [PDF]
, 2005 Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and
Huberman, Gur
core
Assessing the relevance of sell‐side analyst recommendations
Review of Financial Economics, EarlyView.Abstract This paper evaluates the informational value and alpha‐generating potential of sell‐side analyst recommendations. We explore this by employing a monthly portfolio‐sorted long‐short strategy based on consensus analyst recommendations. Our findings indicate that the long‐short equal‐weighted and value‐weighted portfolios yield significant excess
Ekene S. Aguegboh +2 more
wiley +1 more source
Equity Price Risk and Return: Evidence from the Karachi Stock Exchange
JISR Management and Social Sciences & Economics, 2009 This paper examines the tradeoff between equity price risk and returns obtained through various approaches. Capital asset pricing model (CAPM) and arbitrage pricing model (APT) are considered to be the fundamental building blocks of the portfolio theory,
Talha Bin Ali Khan, Ali Khizar Aslam
doaj