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  • Search: person:"SANDULESCU, MIRELA"
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Year of publication
Subject
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CAPM 4 Discounting 3 Diskontierung 3 stochastic discount factor 3 Aktienmarkt 2 Bond market 2 Corporate bond 2 Exchange rate 2 Rentenmarkt 2 Stochastic process 2 Stochastischer Prozess 2 Stock market 2 Theorie 2 Theory 2 Unternehmensanleihe 2 Wechselkurs 2 exchange rates 2 Artificial intelligence 1 Estimation 1 Financial intermediation 1 Finanzintermediation 1 Künstliche Intelligenz 1 Liquidity 1 Liquidität 1 Market integration 1 Market liquidity 1 Market segmentation 1 Marktintegration 1 Marktliquidität 1 Marktsegmentierung 1 Option trading 1 Optionsgeschäft 1 Risiko 1 Risk 1 Schätzung 1 Speculation 1 Spekulation 1 Volatility 1 Volatilität 1 corporate bonds 1
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Online availability
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Free 5 Undetermined 1
Type of publication
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Book / Working Paper 5 Article 1
Type of publication (narrower categories)
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Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3
Language
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English 6
Author
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Sandulescu, Mirela 5 Pasquariello, Paolo 1 Pederzoli, Paola 1 SANDULESCU, MIRELA 1 Schneider, Paul 1 TROJANI, FABIO 1 Trojani, Fabio 1 VEDOLIN, ANDREA 1 Vedolin, Andrea 1
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Published in...
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Research paper series / Swiss Finance Institute 3 Ross School of Business Paper Forthcoming 1 Swiss Finance Institute Research Paper 1 The Journal of Finance 1
Source
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ECONIS (ZBW) 5 Other ZBW resources 1
Showing 1 - 6 of 6
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Non-Linear CAPM : Evidence From In-The-Money Options Trading
Pederzoli, Paola; Sandulescu, Mirela - 2022
We investigate the cross-section of option returns using a model-free approach, by constructing a stochastic discount factor (SDF) that features minimal variance and accounts for frictions. We find that incorporating transaction costs in the form of bid-ask spreads is essential in order to...
Persistent link: https://www.econbiz.de/10014238969
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Speculation and Liquidity in Stock and Corporate Bond Markets
Pasquariello, Paolo; Sandulescu, Mirela - 2022
Canonical theories of trading assume that financial asset payoffs are linear in their fundamentals.This study argues that the nonlinearity of equity and corporate bond payoffs (by virtue of their issuer’s solvency) has novel, important effects on their price formation. We show that informed...
Persistent link: https://www.econbiz.de/10013313044
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Mispricing and uncertainty in international markets
Sandulescu, Mirela; Schneider, Paul - 2021
We develop Residual MisPricing (RMP), an index capturing mispricing relative to a linear benchmark asset pricing model, from the structure imposed by no-arbitrage. RMP is fully conditional and depends only on the returns of basic assets. Return data for several economies reveal that RMP is...
Persistent link: https://www.econbiz.de/10012487677
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How integrated are corporate bond and stock markets?
Sandulescu, Mirela - 2020
I study the degree of market integration between U.S. corporate bonds and stocks of their issuers. I document that trading costs and short-selling constraints, which are often imposed on market participants, regularize optimal Sharpe ratio portfolios. These novel trading frictions are consistent...
Persistent link: https://www.econbiz.de/10012181292
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Model-free international stochastic discount factors
Sandulescu, Mirela; Trojani, Fabio; Vedolin, Andrea - 2018
We provide a theoretical framework to uncover in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as...
Persistent link: https://www.econbiz.de/10011877461
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Model‐Free International Stochastic Discount Factors
SANDULESCU, MIRELA; TROJANI, FABIO; VEDOLIN, ANDREA - In: The Journal of Finance 76 (2020) 2, pp. 935-976
Persistent link: https://www.econbiz.de/10012282943
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