Results 171 to 180 of about 87,733 (349)
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 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
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
About motives behind Securitization and its Implications: An Overview of Empirical Findings
Contemporary Economics, 2010 This article reviews empirical findings concerning motives behind securitization and its implications. It turns out that the main reasons for securitization are: earnings management, regulatory capital arbitrage, liquidity management and funding problems.
Krzysztof Jackowicz
doaj
Rate of Arbitrage and Reconciled Beliefs [PDF]
Any group of risk neutral agents who hold differing beliefs is vulnerable to money pumps (arbitrage). Thus, the agents may wish to reconcile their beliefs into a new joint belief.
Marco Scarsini, Yossi Feinberg
core
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]
PLoS OneHuynh TT, Khoa BT.
europepmc +1 more source
Limited risk arbitrage investment management.
, 1996 Imperial Users ...
List, Hans-Fredo, List, Hans-Fredo
openaire +1 more source
Uneven Product Diversification: Explaining the Lag of Agricultural Economies
International Economic Review, EarlyView.ABSTRACT This paper documents that agricultural sectors diversify less than other manufacturing activities. A simple model shows that this difference can contribute to welfare divergence in a way that is qualitatively different to what results when uneven growth happens in the intensive margin.
Guzmán Ourens
wiley +1 more source