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

Rutten, Lamon - EconWPA - 2003

involvement of banks. The impact of this new form of "speculation" on the price formation process on commodity futures markets is …

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

An Analysis of the Profiles and Motivations of Habitual Commodity Speculators

Canoles, W. Bruce; Thompson, Sarahelen R.; Irwin, Scott H. - EconWPA - 1997

The focus of this study is the habitual speculator in commodity futures markets. The speculator's activity broadens a market, creates essential liquidity, and performs an irreplaceable pricing function. Working knowledge of the profiles and motivations of habitual speculators is essential to...

Persistent link: https://www.econbiz.de/10005134865

Speculation in First-Price Auctions with Resale

Troger, Thomas - EconWPA - 2003

We analyze first-price auctions with two asymmetric bidders, where the winner can offer the good for resale to the loser. One bidder has a private value for the good, the other bidder - the speculator - has zero value. We show that, independently of the resale market rules, the speculator's...

Persistent link: https://www.econbiz.de/10005134987

Speculation in Second-Price Auctions with Resale

Garratt, Rod; Troger, Thomas - EconWPA - 2003

equilibria that are profitable for a speculator. With no reserve price in the initial auction, speculation can enhance the … initial seller's expected revenue. On the other hand, speculation can harm the initial seller even if she chooses an optimal …

Persistent link: https://www.econbiz.de/10005118641

Macroeconomics of Speculation

Erturk, Korkut - EconWPA - 2005

speculation per se, ignoring asset price bubbles and their macroeconomic effects. That is perhaps because his views were formed … during the era of financial regulation, when speculation “could do no harm as bubbles on a steady stream of enterprise … a whirlpool of speculation” has begun to ring true again. To deepen our understanding of financial fragility under …

Persistent link: https://www.econbiz.de/10005561366

Speculation in Standard Auctions with Resale

Garratt, Rod; Troger, Thomas - EconWPA - 2004

We analyze the role resale creates for zero-value bidders, called speculators, in standard auctions with symmetric independent private values buyers. English/second-price auctions always have equilibria with active resale markets and positive profits for a speculator. In first- price/Dutch...

Persistent link: https://www.econbiz.de/10005561846

Heterogeneity and Aggregation in the Labor Market: Implications for Aggregate Preference Shifts

Chang, Yongsung; Kim, Sun-Bin - EconWPA - 2004

The cyclical behavior of hours worked, wages, and consumption does not conform with the prediction of the representative agent with standard preferences. The residual in the intra-temporal first-order condition for commodity consumption and leisure is often viewed as a failure of labor-market...

Persistent link: https://www.econbiz.de/10005076681

Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility

Hayette, Gatfaoui; Thierry, Chauveau - EconWPA - 2004

Starting from the European option valuation framework of Chauveau & Gatfaoui (2002), we establish the link with stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light of systematic and idiosyncratic risks affecting risky...

Persistent link: https://www.econbiz.de/10005134850

STOCK MARKET VALUATION IN THE UNITED STATES

BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003

This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...

Persistent link: https://www.econbiz.de/10005125064

The Price of Gold: A Global Required Yield Theory

Faugere, Christophe; Erlach, Julian Van - EconWPA - 2004

We construct a gold valuation theory based on viewing gold as a global real store of wealth. We show that the real price of gold varies inversely to the stock market P/E and thus is a direct function of a global yield required to achieve a constant real after-tax return equal to long-term global...

Persistent link: https://www.econbiz.de/10005134662