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2016
Securities markets exist to serve the needs of governments and businesses on the one hand and investors on the other, and the role that they played was a product of the balance between these two needs. Securities market had to compete for business with government finance and the intermediation of banks while investors could invest directly in business ...
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Securities markets exist to serve the needs of governments and businesses on the one hand and investors on the other, and the role that they played was a product of the balance between these two needs. Securities market had to compete for business with government finance and the intermediation of banks while investors could invest directly in business ...
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Marketable Securities and the Stock Market
1984Fortunately, Fred Daly’s setback and decline as reported in chapter 2 was entirely mythical, and in fact his early success was merely the start of a long term trend of continually rising profits, deriving largely from an expansion in the number of his shop outlets, and diversification into records, toys, games and miscellaneous goods.
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2019
The empirical validity of the Capital Asset Pricing Model (CAPM) is one of the most widely discussed topics in the financial literature. The empirical studies treating CAPM and its extensions are widespread. Based on regression analysis, these tests examine whether there is a linear relationship between risk and mean return.
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The empirical validity of the Capital Asset Pricing Model (CAPM) is one of the most widely discussed topics in the financial literature. The empirical studies treating CAPM and its extensions are widespread. Based on regression analysis, these tests examine whether there is a linear relationship between risk and mean return.
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The interaction between security lending market and security trading market
Pacific-Basin Finance Journal, 2017Abstract We develop a parsimonious model to address the interaction between security lending market and security trading market. When a security is easy to borrow, short-selling leads to a lower spot price. When a security is hard to borrow, any CHANGE in shorting supply/demand should be largely absorbed by the lending market, and thus has minimal ...
Tiandu Wang, Chenghu Ma, Qian Sun
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Security Analysis and Market Making
SSRN Electronic Journal, 2003In this paper we analyze the interrelatedness of security analysis and market-making activities. Our results indicate that there exists a bidirectional and positive relation between analyst following and the number of market makers. Using detailed data on analyst and dealer affiliations, we also find that dealers are more likely to make markets in ...
Kee H. Chung, Seong-Yeon Cho
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1997
This chapter deals with so-called finite markets - that is, discrete-time models of financial markets in which all relevant quantities take a finite number of values. Essentially, we follow here the approach of Harrison and Pliska (1981); a more exhaustive analysis of finite markets can be found in Taqqu and Willinger (1987).
Marek Musiela, Marek Rutkowski
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This chapter deals with so-called finite markets - that is, discrete-time models of financial markets in which all relevant quantities take a finite number of values. Essentially, we follow here the approach of Harrison and Pliska (1981); a more exhaustive analysis of finite markets can be found in Taqqu and Willinger (1987).
Marek Musiela, Marek Rutkowski
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2006
As we saw in the previous chapter, index funds are an extension of the efficient market theory (EMT). They can represent a broadly diversified portfolio of securities or set themselves narrower objectives by restricting their holdings to match specific sectors or Sub-sectors of the economy.
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As we saw in the previous chapter, index funds are an extension of the efficient market theory (EMT). They can represent a broadly diversified portfolio of securities or set themselves narrower objectives by restricting their holdings to match specific sectors or Sub-sectors of the economy.
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2017
The dynamic model with time‐additive utility is defined. The intertemporal budget constraint is explained. SDF processes are defined in terms of a martingale property. There is a strictly positive SDF process if and only if there are no arbitrage opportunities. Dynamic complete markets are explained. The difference between the price of an asset and its
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The dynamic model with time‐additive utility is defined. The intertemporal budget constraint is explained. SDF processes are defined in terms of a martingale property. There is a strictly positive SDF process if and only if there are no arbitrage opportunities. Dynamic complete markets are explained. The difference between the price of an asset and its
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