Media Sentiment and Price Run‐Ups
European Financial Management, EarlyView.ABSTRACT We empirically test competing hypotheses about the role of financial media sentiment in price run‐ups. Our global analysis of unusual price increases in stock market segments provides no evidence for long‐term market overreactions fuelled by media reporting.
Heiko Jacobs, Alexander Lauber
wiley +1 more source
Arbitrage Equilibrium, Invariance, and the Emergence of Spontaneous Order in the Dynamics of Bird-like Agents. [PDF]
Entropy (Basel), 2023 Sivaram A, Venkatasubramanian V.
europepmc +1 more source
Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge [PDF]
Jianan Zhang
openalex +1 more source
Essays on Arbitrage Pricing Theory and Systemic Risk Modeling [PDF]
, 2015 Meriton Ibraimi
openalex +1 more source
Call Me Maybe: Corporate Bond Prices Upon Missed Call Opportunities
Financial Management, EarlyView.ABSTRACT In a sample of discretely callable corporate bonds, we find excess returns of approximately 40 bps realized on the release of the issuer's decision to call or not to call. The bonds that could have been profitably called (in‐the‐money bonds) but are not called contribute the most to the bond price jump. We attribute the jump to the revaluation
Alexey Ivashchenko, Michael Rockinger
wiley +1 more source
The impact of tax reduction on enterprises' financialization-A quasi-natural experiment based on the reduction of VAT rate. [PDF]
PLoS One, 2023 Duan S, Lu Y, Cheng Y, Liu Q.
europepmc +1 more source
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
, 2008 Bruce N. Lehmann
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A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
Financial Statement Information and Equity Value: The Role of Real Options Characteristics
Financial Management, EarlyView.ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen +2 more
wiley +1 more source
Can ETFs mitigate stock Co-movement? An analysis of an emerging market. [PDF]
Heliyon, 2023 Esmaeilpour Moghadam H.
europepmc +1 more source