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. Predictions - pricing of derivatives means predicting - remain uncertain. Findings are based on empirical, experimental techniques … using fictituous derivatives, others. …
Persistent link: https://www.econbiz.de/10005125491
The Report on a Right of Use for Collateral Takers and Custodians examines on what basis collateral takers can dispose of the assets of collateral providers, and custodians of those of their clients. The report describes the current legal practice in the USA, Denmark, The Netherlands, Germany,...
Persistent link: https://www.econbiz.de/10005126022
Previous research has documented that the introduction of options seems to affect the volatility, liquidity, price and other characteristics of the underlying stock. Existing research, however, has not adequately accounted for the fact that option listing is endogenous, a result of decisions...
Persistent link: https://www.econbiz.de/10005134669
Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rate exposure of nonfinancial firms....
Persistent link: https://www.econbiz.de/10005134675
It has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of previous studies can be explained by the fact that only the linear...
Persistent link: https://www.econbiz.de/10005134773
This paper presents international evidence on the use of financial derivatives for a sample of 7,292 non …-financial firms from 48 countries including the United States. Across all countries, 59.8% of the firms use derivatives in general …, while 43.6% use currency derivatives, 32.5% interest rate derivatives, and only 10.0% commodity price derivatives …
Persistent link: https://www.econbiz.de/10005134828
Firm value is influenced in many direct and indirect ways by financial risks, which consist of unexpected changes of foreign exchange rates, interest rates and commodity prices. The fact that a significant number of corporations are committing resources to risk management activi-ties is,...
Persistent link: https://www.econbiz.de/10005134866
Capital markets and their related financial instruments make an important contribution to the welfare of Canadians. The Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for monetary policy, the financial system, and funds...
Persistent link: https://www.econbiz.de/10005413072
This paper examines whether the introduction of the Euro in 1999 was associated with lower stock return volatility, market risk exposures and foreign exchange rate risk exposures for 12,821 nonfinancial firms in Europe, the United States, and Japan. We show that though the Euro led to a...
Persistent link: https://www.econbiz.de/10005413119
By analyzing fictitious options - a unique approach - significant mispricing due to the formula of Black and Scholes can be shown systematically and independent from market distortion. Even options based on fictitious, lognormally distributed courses are not valued properly. According to the Law...
Persistent link: https://www.econbiz.de/10005556646