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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework

Altay, Erdinc - EconWPA - 2003

This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...

Persistent link: https://www.econbiz.de/10005076970

The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance

Faugere, Christophe; Erlach, Julian Van - EconWPA - 2003

We find that the long-run equity premium is fully explained by GDP growth and that it is consistent with a short-term portfolio insurance motive. We first derive the macroeconomic equivalent of the standard sustainable growth formula to determine the long-run average return on stocks. The...

Persistent link: https://www.econbiz.de/10005413067

The Random Yield Curve and Interest Rate Options

Chu, Meifang - EconWPA - 1997

large class of interest rate options including European calls, compound options, swaps, swaptions, caps and captions. This …

Persistent link: https://www.econbiz.de/10005413112

Financial Super-Markets: Size Matters for Asset Trade

Martin, Philippe; H=E9l=E8ne Rey= - EconWPA - 2001

This paper presents a new theoretical framework to analyze=20 financial markets in an international context. We build a two-country=20 macroeconomic model in which agents are risk averse, assets are imperfect=20 substitutes, the number of financial assets is endogenous, and cross-border= =20...

Persistent link: https://www.econbiz.de/10005125546

An Analysis of Hedge Fund Performance

Capocci, Daniel - EconWPA - 2002

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Persistent link: https://www.econbiz.de/10005134782

The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance

Rutten, Lamon - EconWPA - 2003

This paper describes the experiences of developing country enterprises, farmers and governments with commodity price risk management and various forms of structured finance. It explores the constraints that these entities face in using modern financial markets, including counterparty and...

Persistent link: https://www.econbiz.de/10005413090

Alternative Market Structures for Derivatives

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

Persistent link: https://www.econbiz.de/10005413164

New types of non-trade related participation in commodity futures markets

Rutten, Lamon - EconWPA - 2003

This paper explores the growing involvement of new types of non- commodity-sector-related players in commodity futures markets. This includes a discussion on the role of managed funds, the impact of the use of commodity warrants, and the direct involvement of banks. The impact of this new form...

Persistent link: https://www.econbiz.de/10005077040

Long Memory Options: Valuation

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

of persistence into the binomial and Black-Scholes pricing formulas. Long memory options are of considerable importance …

Persistent link: https://www.econbiz.de/10005561723

The Demand For Reinsurance: Theory and Empirical Tests

GARVEN, James R. - EconWPA - 1995

This paper investigates the valuation effects of reinsurance purchases in a contingent claims framework. The comparative statics of the model suggest that, other things held constant, the demand for reinsurance will be greater, 1) the higher the firm's leverage, 2) the lower the correlation...

Persistent link: https://www.econbiz.de/10005124991