Results 21 to 30 of about 82,916 (38)
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Journal of Banking & Finance, 2020
We propose a momentum strategy that operates within commodity futures curves. The diversified curve momentum strategy generates a significantly positive average excess return and a (annualized) Sharpe ratio of 1.28.
Raphael Paschke +2 more
semanticscholar +1 more source
We propose a momentum strategy that operates within commodity futures curves. The diversified curve momentum strategy generates a significantly positive average excess return and a (annualized) Sharpe ratio of 1.28.
Raphael Paschke +2 more
semanticscholar +1 more source
Arbitraging Covered Interest Rate Parity Deviations and Bank Lending
Social Science Research Network, 2021I propose and test a new channel through which covered interest rate parity (CIP) deviations can affect bank lending in emerging economies. I argue that when CIP deviations exist, banks attempt to arbitrage them.
L. Keller
semanticscholar +1 more source
Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity
Social Science Research Network, 2020Forward markets are believed to aggregate information about future spot prices and reduce the cost of producing the commodity. We develop a measure of the extent to which forward and spot prices agree in markets with transaction costs. Using this measure,
A. Jha, F. Wolak
semanticscholar +1 more source
Do opinion polls move stock prices? Evidence from the US presidential election in 2016
Quarterly Review of Economics and Finance, 2021This paper analyzes stock market movements during the pre-election period of the 2016 US presidential elections. We raise the question whether stock prices anticipated the growing probability of a Trump win.
Michael Herold, A. Kanz, Matthias Muck
semanticscholar +1 more source
US Treasury Auctions: A High-Frequency Identification of Supply Shocks
American Economic Journal: MacroeconomicsWe identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pertaining to US Treasury announcements between 1998 and
Maxime Phillot
semanticscholar +1 more source
The effect of short selling on volatility and jumps
Australian Journal of Management, 2021The evidence is mixed regarding the role of short sellers on stock market efficiency, with the majority of studies assessing short selling activities during abnormal market conditions.
Glenn Kit Foong Ho +3 more
semanticscholar +1 more source
Option Pricing with Time-Varying Volatility Risk Aversion
The Review of financial studies, 2022We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model
P. Hansen, Chen Tong
semanticscholar +1 more source
Why does options market information predict stock returns?
Journal of Financial EconomicsSeveral influential studies show that options volatilities and trading volume predict stock returns. This predictability is puzzling because market participants can readily observe options market data.
D. Muravyev +2 more
semanticscholar +1 more source
Ambiguity, Volatility, and Credit Risk
The Review of financial studies, 2019We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net ...
Patrick Augustin, Yehuda Izhakian
semanticscholar +1 more source
Common Pricing of Decentralized Risk: A Linear Option Pricing Model
The Review of financial studiesThis paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates.
Liuren Wu, Yuzhao Zhang
semanticscholar +1 more source