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| Registros recuperados: 19 | |
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| Charoenrook, Anchada; Daouk, Hazem. |
| This paper contributes empirical evidence to the on-going debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for the analysis of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Short-sale constraints; Stock returns; Cost of capital; International finance; Financial Economics; G15; G12. |
| Ano: 2009 |
URL: http://purl.umn.edu/51180 |
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| Yoshino, Joe Akira. |
| We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the... |
| Tipo: Journal Article |
Palavras-chave: Arrow-Debreu contingent claim; Options; Black-Scholes; Market risk; Volatility; Brazilian stock market; Risk and Uncertainty; Marketing; G12; G13. |
| Ano: 2003 |
URL: http://purl.umn.edu/44000 |
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| Marshall, Pablo; Walker, Eduardo. |
| This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991-1998 period, results show that larger company stock prices –as measured by market capitalization– react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does. |
| Tipo: Journal Article |
Palavras-chave: Efficient market hypothesis; Cross-serial autocorrelation; Emerging markets; Financial Economics; G12; G15. |
| Ano: 2002 |
URL: http://purl.umn.edu/44293 |
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| Fogarty, James Joseph; Jones, Callum. |
| Comparisons between the return to wine and standard financial assets are complicated in that the return to wine must be estimated from infrequent sales of heterogeneous wine brands. Wine returns can be estimated using several different approaches, and here the performance of the hedonic approach, repeat sales approach, and hybrid approach are compared using 14,102 auction sale observations for Australian wine over the period 1988 to 2000. For the data set considered the results show that the hybrid approach provides the most efficient estimates, and that the repeat sales approach provides significantly higher total return estimates than the other two approaches. The portfolio diversification benefit attributed to holding wine is then shown to vary with... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Return to wine; Price index; Research Methods/ Statistical Methods; C33; G12. |
| Ano: 2011 |
URL: http://purl.umn.edu/108668 |
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| Power, Gabriel J.; Turvey, Calum G.. |
| Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Q13; Q14; Marketing; C52; C53; G12; G13. |
| Ano: 2007 |
URL: http://purl.umn.edu/9782 |
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| Fendel, Ralf. |
| The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates. In contrast to most affine term structure models two risk factors are linked to observable macroeconomics factors: output and inflation. The results indicate that the dynamics of the German term structure of interest rates can be sufficiently explained by expected variations in those macroeconomic factors plus an additional unobservable factor. Furthermore, we are able to extract a monetary policy reaction function within this no-arbitrage model that closely resembles empirical reaction functions that are based on the dynamics of the short rate only. |
| Tipo: Journal Article |
Palavras-chave: Affine term structure models; Monetary policy rules; Kalman filter; Financial Economics; E43; E58; G12. |
| Ano: 2008 |
URL: http://purl.umn.edu/50005 |
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| Bellver, Jeronimo Aznar; Martinez, Francisco Guijarro. |
| Resumen En este trabajo se presentan diversos modelos de valoración en ambiente de incertidumbre que combinan información precisa e imprecisa. En el desarrollo de los mismos se ha extendido la técnica de programación por metas básica a modelos que permiten considerar intervalos en la expresión del precio o las variables explicativas del mismo, enunciando una serie de proposiciones con las que se obtiene un completo conocimiento sobre el grado de adecuación entre los valores observados en el precio y los valores estimados por la función de valoración. Así mismo, se ha formulado un índice de adecuación que permite comparar diferentes modelos obtenidos mediante la metodología propuesta. Palabras clave: Valoración, Incertidumbre, Programación por metas con... |
| Tipo: Journal Article |
Palavras-chave: Valuation; Uncertainty; Interval goal programming; Research Methods/ Statistical Methods; C61; G12; Q14. |
| Ano: 2004 |
URL: http://purl.umn.edu/28731 |
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| Liu, Ying; Papakirykos, Eli; Yuan, Mingwei. |
| This paper applies the asset valuation model developed by Rabinovitch (1989) to the six largest Canadian banks. The model is an extension of the Merton (1977a) option-pricing model with the incorporation of stochastic interest rates. We then introduce a measure of distance-to default, Z-score. Our results indicate that the market value of bank assets is almost always below its book value and that Canadian banks have a very low insolvency risk over time, except for 1982 and 1983. We also find that both the market valuation of the bank assets and the z-score of these Canadian banks demonstrate similar regime switches in the late 1990s, which may be related to regulatory changes during the 1990s. |
| Tipo: Journal Article |
Palavras-chave: Asset pricing; Financial institution; Financial Economics; Risk and Uncertainty; G12; G21. |
| Ano: 2006 |
URL: http://purl.umn.edu/50281 |
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| Power, Gabriel J.; Turvey, Calum G.. |
| Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14. |
| Ano: 2008 |
URL: http://purl.umn.edu/37608 |
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| Nandha, Mohan; Faff, Robert. |
| This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by an oil price factor. Results are estimated using both domestic and US dollar oil prices. Several industries (e.g. chemicals, engineering and machinery, food processors and transport) are found to be statistically significantly sensitive to the oil price factor in the long run, whereas no such sensitivity is detected in the short run. Our results indicate that longer period return generating intervals might offer a better setting in which to explore the oil price... |
| Tipo: Journal Article |
Palavras-chave: South Asian markets; Short run and Long run; Oil price sensitivity; Financial Economics; C20; G12; Q49. |
| Ano: 2006 |
URL: http://purl.umn.edu/50370 |
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| Dapena, Jose Pablo. |
| Each company faces day to day investment opportunities. Just by staying in business the company is taking a decision of reinvesting capital. These opportunities have to be fairly valued to overcome misallocation of resources. A project with high growth opportunities requires high reinvestments to take full advantage of them until it reaches its mature stage. These investments can be seen as a succession of call options on future growth. When a company with such prospects is valued using the discounted cash flow technique and growth is taken implicitly in the growing cash flows and the residual value, the value thus obtained will be higher than the true one (under certain circumstances). Technology advances and the effects of globalization create enormous... |
| Tipo: Journal Article |
Palavras-chave: Real options; Valuation; Contingent claims valuation; Financial Economics; G12. |
| Ano: 2003 |
URL: http://purl.umn.edu/44040 |
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| Valckx, Nico. |
| This paper applies the Campbell-Shiller (1988) methodology to estimate a price dividend model with volatility and inflation risk, extending existing models in this field. The model fits the data well over the period 1979-2002 for the Euro Area, but less so for the U.S. The latter is interpreted as reflecting fads and is borne out by a decomposition of the price dividend ratio into a fundamental and bubble part. Finally, it is shown that deviations from fundamentals enter significantly in the Fed's interest rate reaction function but at the cost of destabilising monetary policy. Alternatively, in case that Fed policy remained stable, there was not much of attention to asset bubbles. For the Euro Area, historically, the reaction function does not appear to... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Dividend price ratio; Dynamic Gordon model; Asset price bubbles; Taylor rule; Financial Economics; E44; G12. |
| Ano: 2003 |
URL: http://purl.umn.edu/26301 |
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| Daouk, Hazem; Ng, David T.C.. |
| Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We develop a new, unlevering approach to document how well financial leverage, rather than size, beta, book-to-market, or operating leverage, explains volatility asymmetry on a firm-by-firm basis. Our results reveal that, at the firm level, financial leverage explains much of the volatility asymmetry. This result is robust to different unlevering methodologies, samples, and measurement intervals. However, we find that financial leverage does not explain index-level... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Volatility asymmetry; Financial leverage; Financial Economics; Research Methods/ Statistical Methods; G12. |
| Ano: 2009 |
URL: http://purl.umn.edu/51182 |
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| Registros recuperados: 19 | |
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