Narrow search
Showing 1 - 10 of 80
Cover Image
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998
One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...
Persistent link: https://www.econbiz.de/10005100613
Cover Image
Ratchet vs Blasé Investors and Asset Markets
St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2004
estimates are consistent with blasé behavior and counter-cyclical risk aversion. Cet article propose une nouvelle fonction d …
Persistent link: https://www.econbiz.de/10005100831
Cover Image
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles
Bonomo, Marco; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1994
In this paper, we match both the first and the second moments of the equity premium and the risk-free rate by endowing … premium is 1.7% for a coefficient of relative risk aversion of 8 and a discount factor of 0.98, while the standard deviations … for both the equity premium and the risk-free rate are close to the observed ones. The mean of the risk-free rate stands …
Persistent link: https://www.econbiz.de/10005627173
Cover Image
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
Ghysels, Eric; Seon, Junghoon - Centre Interuniversitaire de Recherche en Analyse des … - 2000
This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian...
Persistent link: https://www.econbiz.de/10005100707
Cover Image
The Valuation of Volatility Options
Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999
This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process. Explicit...
Persistent link: https://www.econbiz.de/10005100856
Cover Image
Analytic Evaluation of Volatility Forecasts
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed returns. In response to this, Andersen, Bollerslev, Diebold...
Persistent link: https://www.econbiz.de/10005100878
Cover Image
The Importance of the Loss Function in Option Valuation
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in...
Persistent link: https://www.econbiz.de/10005100937
Cover Image
Risk, Timing and Overoptimism in Private Placements and Public Offerings
Carpentier, Cécile; L'Her, Jean-François; Smith, Stephan - Centre Interuniversitaire de Recherche en Analyse des … - 2007
We examine whether risk, timing or mispricing hypotheses can explain the underperformance of private and public equity … issuers, in Canada, where both categories share several common characteristics. Adding an investment risk factor to the TFPM …
Persistent link: https://www.econbiz.de/10005100594
Cover Image
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
Doz, Catherine; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004
higher order moments or through a specification of risk premiums based on constant prices of factor risks. In both cases …
Persistent link: https://www.econbiz.de/10005100682
Cover Image
CAPM, Components of Beta and the Cross Section of Expected Returns
Cenesizoglu, Tolga; Reeves, Jonathan J. - Centre Interuniversitaire de Recherche en Analyse des … - 2013
(systematic risk) with short-, medium- and long-run components. The short-run component of beta is computed from daily returns …-run component from monthly returns over the prior 10 years. More immediate changes in risk such as changes in portfolio … characteristics are captured in the short-run beta component, whereas, more slowly changing risk due to the business cycle is captured …
Persistent link: https://www.econbiz.de/10011183707