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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

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

Derivatives Do Affect Mutual Funds Returns : How and When?

Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper is the first to present evidence on the magnitude of derivative use by mutual funds. Using a unique data set of detailed balance sheet information on open-end mutual funds, we characterize the nature of derivative use by these funds. Most mutual funds using derivatives do so to a very...

Persistent link: https://www.econbiz.de/10005100892

Structural Change and Asset Pricing in Emerging Markets

Garcia, René; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1996

This paper documents the importance of testing for structural change in the context of emerging markets. Typically, asset pricing factor models for emerging markets are conditioned on world financial market factors such as world equity excess returns, risk and maturity spreads as well as other...

Persistent link: https://www.econbiz.de/10005100851

The Determinants of Credit Default Swap Premia

Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo A. - Centre Interuniversitaire de Recherche en Analyse des … - 2004

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

Persistent link: https://www.econbiz.de/10005100839

Species Preservation and Biodiversity Value: A Real Options Approach

Kassar, Ilhem; Lasserre, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 2002

We evaluate biodiversity in a real options framework, when the resources in use are substitutable. We examine optimal conservation decisions given that a biodiversity loss is irreversible and that future use values are uncertain. While species substitutability is generally believed to reduce the...

Persistent link: https://www.econbiz.de/10005100634

Ratchet vs Blasé Investors and Asset Markets

St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2004

His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior...

Persistent link: https://www.econbiz.de/10005100831

Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets

Detemple, Jérôme B.; Gottardi, Piero - Centre Interuniversitaire de Recherche en Analyse des … - 1997

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive allocations in general equilibrium models with incomplete markets in which agents have general preference and endowment distributions. We show that these properties are distinct....

Persistent link: https://www.econbiz.de/10005100865

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10009652126

Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data

Galbraith, John; Zernov, Serguei; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper uses estimation techniques related to those of Galbraith and Zinde-Walsh (2000) for ARCH and GARCH models, based on realized volatility (Andersen and Bollerslev 1998, and others), to estimate the conditional quantiles of daily volatility in samples of equity index and foreign exchange...

Persistent link: https://www.econbiz.de/10005100530