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Galton's Error and the Under-Representation of Systematic Risk
LOS, CORNELIS A. - EconWPA - 2004
Our methodology of 'complete identification,' using simple algebraic geometry, throws new light on the continued commitment of Galton's Error in finance and the resulting misinformation of investors. Mutual funds conventionally advertise their relative systematic market risk, or 'betas,' to...
Persistent link: https://www.econbiz.de/10005134709
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The Impact of the Suspension of Opening and Closing Call
Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005
India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate …
Persistent link: https://www.econbiz.de/10005134759
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Do Brokers Misallocate Customer Trades? Evidence From Futures Markets
Park, Hun Y.; Sarkar, Asani; Wu, Lifan - EconWPA - 1998
In the context of futures markets, we study whether brokers allocate more favorable trades to their own accounts, and less favorable trades to their customers. We find that, within a thirty minute trading bracket, brokers on average buy at a lower price and sell at a higher price for their own...
Persistent link: https://www.econbiz.de/10005413100
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The Impact of the Suspension of Opening and Closing Call
Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2004
closing call auctions by the National Stock Exchange of India in 1999. We compare the volatility, efficiency and liquidity …, and therefore that it cannot be assumed that a call auction system will improve share trading in a less liquid emerging …
Persistent link: https://www.econbiz.de/10005413175
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Stock Price Volatility in a Multiple Security Overlapping Generations Model
Spiegel, Matthew - EconWPA - 1996
A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within … exist 2K equilibria when K securities trade. The low volatility equilibria have properties analogous to those found in the … infinitely lived agent models of Campbell and Kyle (1991) and Wang (1993, 1994). In contrast, the high volatility equilibria have …
Persistent link: https://www.econbiz.de/10005413185
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What is the Link Between Margin Loans and Stock Market Bubbles?
Ricke, Markus - EconWPA - 2003
As a reaction to the general suspicion that margin loans had been a key element of the stock market boom and crash of the late 1920s, the Federal Reserve Bank was empowered to regulate margin lending with the Securities and Exchange Act. The efficacy of the Federal Reserve's margin policy has...
Persistent link: https://www.econbiz.de/10005561621
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Toward a Theory of Asset Subscription
Xie, Danyang - EconWPA - 2003
asset that is too large or too risky for a single individual or financial institution so that an auction method is not … and a SS is provided. The difference between an auction scheme and a subscription scheme is discussed. …
Persistent link: https://www.econbiz.de/10005134756
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Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors
Dionisio, Andreia; Menezes, Rui; Mendes, Diana A.; … - EconWPA - 2004
The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual...
Persistent link: https://www.econbiz.de/10005119091
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The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
Kenourgios, Dimitris; Samitas, Aristeidis; … - EconWPA - 2005
return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …
Persistent link: https://www.econbiz.de/10005413108
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Modelling International Bond Markets with Affine Term Structure Models
Mosburger, Georg; Schneider, Paul - EconWPA - 2005
modelling international bond markets. We derive necessary conditions for the correlation and volatility structure of mixture …
Persistent link: https://www.econbiz.de/10005134688