Results 11 to 20 of about 82,916 (38)
Identifying VARS based on high frequency futures data
, 2003 Jon Fausta +2 more
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Whatever it Takes? The Impact of Conditional Policy Promises
Social Science Research Network, 2023At the announcement of a new policy, agents form a view of state-contingent policy actions and impact. We develop a method to estimate this state-contingent perception and implement it for many asset-purchase interventions worldwide.
Valentin Haddad +2 more
semanticscholar +1 more source
COVID-19 and Corporate Finance
Social Science Research Network, 2022We distill evidence about the effects of COVID-19 on companies. Stock price reactions to the shock differed greatly across firms, depending on their resilience to social distancing, financial flexibility, and corporate culture. The same characteristics
M. Pagano, J. Zechner
semanticscholar +1 more source
Dynamic Competition and Arbitrage in Electricity Markets: The Role of Financial Players
American Economic Journal: Microeconomics, 2022I study the effects of financial players who trade alongside physical buyers and sellers in electricity markets. Using detailed firm-level data, I examine physical and financial firms’ responses to regulation that exogenously increased financial trading.
Ignacia Mercadal
semanticscholar +1 more source
Social Science Research Network, 2023
This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences.
Urban Jermann
semanticscholar +1 more source
This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences.
Urban Jermann
semanticscholar +1 more source
Fire-sale risk in the leveraged loan market
Journal of Financial Economics, 2022Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for systemic risk due to leverage constraints on CLOs.
Redouane Elkamhi, Yoshio Nozawa
semanticscholar +1 more source
Journal of Emerging Market Finance, 2023
This study investigates the dynamic relationship between noise trader sentiment and excessive volatility in the Indian financial market during the COVID-19 outbreak.
Ansu Royit, Babu Jose, James Varghese
semanticscholar +1 more source
This study investigates the dynamic relationship between noise trader sentiment and excessive volatility in the Indian financial market during the COVID-19 outbreak.
Ansu Royit, Babu Jose, James Varghese
semanticscholar +1 more source
Stock illiquidity and option returns
Journal of financial markets, 2022We provide evidence of a strong effect of the underlying stock’s illiquidity on option returns. Returns can be increasing or decreasing with stock illiquidity, depending on the magnitude of end user net demand.
S. Kanne, O. Korn, M. Uhrig-Homburg
semanticscholar +1 more source
Social Science Research Network, 2022
We document that the carry of crypto futures, i.e. the difference between futures and spot prices, can become very large (up to 60% p.a.) and varies strongly over time.
Maik Schmeling +2 more
semanticscholar +1 more source
We document that the carry of crypto futures, i.e. the difference between futures and spot prices, can become very large (up to 60% p.a.) and varies strongly over time.
Maik Schmeling +2 more
semanticscholar +1 more source
Anomalies and Their Short-Sale Costs
Social Science Research Network, 2022Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out-of-sample, they cannot profitably be exploited due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long-
D. Muravyev +2 more
semanticscholar +1 more source