Results 71 to 80 of about 855,132 (178)
Review of Development Economics, Volume 27, Issue 1, Page 291-322, February 2023., 2023 Abstract Using an overlapping generations model, we show that the impact of private financing of education on growth depends on credit market development, being positive when credit markets are adequately developed but negative if sufficiently low levels of credit market development occur alongside relatively high private financing intensities ...
Michael Hatcher +1 more
wiley +1 more source
Real-world options: smile and residual risk [PDF]
, 1995 We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted.
Bouchaud, Jean-Philippe +2 more
core +2 more sources
Investor overreactions to transnational peer firm earnings: The role of accounting standards
Contemporary Accounting Research, EarlyView.Abstract This study finds that accounting standards play an important role in cross‐border investor reactions to peer firm earnings. Specifically, we document that when international peer firms report under the same accounting standards, investors overreact to peer firms' earnings announcements.
Manuel Herkenhoff, Martin Nienhaus
wiley +1 more source
Geometric Arbitrage Theory and Market Dynamics Reloaded [PDF]
arXiv, 2009 We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy.
arxiv
10‐K complexity, analysts' forecasts, and price discovery in capital markets
Accounting &Finance, EarlyView.Abstract This paper examines the behaviour of stock prices and analysts' earnings forecasts following firms' increasingly complex 10‐K filings. Our evidence suggests that greater information uncertainty outweighs greater analyst ability, and the net effect drives greater underreaction in analysts' earnings forecasts following the release of more ...
Jamie Diaz +2 more
wiley +1 more source
Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
core
A Unified Beta Pricing Theory [PDF]
, 1984 This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory.
Connor, Gregory
core
Price Impact on Term Structure [PDF]
arXiv, 2020 We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that is endogenous to the term structure.
arxiv
The leaders' shadow: Excessive information spillover in the Chinese stock market
Accounting &Finance, EarlyView.Abstract This study investigates information spillover from industry leaders to peer firms during the leaders' earnings announcements (EAs) in the Chinese stock market. We find a positive information spillover, which is subsequently corrected when peers announce their own earnings, indicating excessive information spillover (overreaction).
Jiaxin Duan +3 more
wiley +1 more source
Asset Pricing - A Brief Review [PDF]
I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal
Li, Minqiang
core +1 more source