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C.E.P.R. Discussion Papers
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1
Performance Maximization of Actively Managed Funds
Guasoni, Paolo
;
Huberman, Gur
;
Wang, Zhenyu
-
C.E.P.R. Discussion Papers
-
2010
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10008468707
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2
Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
Acharya, Viral V
;
Schaefer, Stephen M
;
Zhang, Yili
-
C.E.P.R. Discussion Papers
-
2007
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...
Persistent link: https://www.econbiz.de/10005123999
Saved in:
3
Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
Snowberg, Erik
;
Wolfers, Justin
;
Zitzewitz, Eric
-
C.E.P.R. Discussion Papers
-
2006
Political economists interested in discerning the effects of election outcomes on the economy have been hampered by the problem that economic outcomes also influence elections. We sidestep these problems by analyzing movements in economic indicators caused by clearly exogenous changes in...
Persistent link: https://www.econbiz.de/10005124061
Saved in:
4
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
Coutant, Sophie
;
Jondeau, Eric
;
Rockinger, Michael
-
C.E.P.R. Discussion Papers
-
1998
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and...
Persistent link: https://www.econbiz.de/10005124441
Saved in:
5
Demand-Based Option Pricing
Garleanu, Nicolae Bogdan
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
Saved in:
6
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
, and
volatility
risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
7
Insider Trading in Credit Derivatives
Acharya, Viral V
;
Johnson, Tim
-
C.E.P.R. Discussion Papers
-
2005
Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...
Persistent link: https://www.econbiz.de/10005666591
Saved in:
8
Implied
Volatility
Functions: Empirical Tests
Dumas, Bernard J
;
Fleming, Jeff
;
Whaley, Robert E
-
C.E.P.R. Discussion Papers
-
1996
Black/Scholes constant
volatility
assumption is violated in practice. These authors hypothesize that the
volatility
of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic
volatility
… 1993, we evaluate the economic significance of the implied deterministic
volatility
function by examining the predictive …
Persistent link: https://www.econbiz.de/10005498195
Saved in:
9
The Effect of Introducing a Non-redundant Derivative on the
Volatility
of Stock-Market Returns
Bhamra, Harjoat Singh
;
Uppal, Raman
-
C.E.P.R. Discussion Papers
-
2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the
volatility
of stock … increases the
volatility
of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
Saved in:
10
Collateralisation bubbles when investors disagree about risk
Broer, Tobias
;
Kero, Afroditi
-
C.E.P.R. Discussion Papers
-
2014
Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...
Persistent link: https://www.econbiz.de/10011084220
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