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How Does Systematic Risk Impact Stocks? A Study On the French Financial Market
Hayette, Gatfaoui - EconWPA - 2004
prevailing in a Black & Scholes (1973) world are assumed to hold. Based on daily data, the results show that the level of the … implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic … the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly …
Persistent link: https://www.econbiz.de/10005561708
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The Degree of Stability of Price Diffusion
Los, Cornelis A. - EconWPA - 2005
distributions retain their shape, but not their localization (mean ) or size (volatility ) as the classical Gaussian distributions … time T and frequency . For example, the volatility of the lognormal financial price distribution, derived from the … generally, the volatility of the price return distributions of Calvet and Fisher's (2002) Multifractal Model for Asset Returns …
Persistent link: https://www.econbiz.de/10005134704
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The Effects of Option Expiration on NSE volume and prices
Gupta, Akash; Metia, Samik; Trivedi, Prashant - EconWPA - 2004
This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our...
Persistent link: https://www.econbiz.de/10005134925
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The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains
Levy, Daniel; Bergen, Mark; Dutta, Shantanu; Venable, Robert - EconWPA - 2005
We use store-level data to document the exact process of changing prices and to directly measure menu costs at five multi-store supermarket chains. We show that changing prices in these establishments is a complex process, requiring dozens of steps and a nontrivial amount of resources. The menu...
Persistent link: https://www.econbiz.de/10005412630
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Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data
Levy, Daniel; Dutta, Shantanu; Bergen, Mark - EconWPA - 2004
We combine two data sets to study price rigidity. The first consists of weekly time series of retail, wholesale, and spot prices for twelve products. These time series contain two exogenous cost shocks. We find that prices exhibit more rigidity in response to the second shock than the first. The...
Persistent link: https://www.econbiz.de/10005412696
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Price Adjustment at Multiproduct Retailers
Levy, Daniel; Dutta, Shantanu; Bergen, Mark; Venable, Robert - EconWPA - 2005
We empirically study the price adjustment process at multiproduct retail stores. We use a unique store level data set for five large supermarket and one drugstore chains in the U.S., to document the exact process required to change prices. Our data set allows us to study this process in great...
Persistent link: https://www.econbiz.de/10005412912
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Why VAR Fails: Long Memory and Extreme Events in Financial Markets
Los, Cornelis A. - EconWPA - 2004
The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...
Persistent link: https://www.econbiz.de/10005413041
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When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
Los, Cornelis A. - EconWPA - 2004
Portfolio diversification may not always lower the portfolio risk, but may actually increase it. It depends on the long memory and distributional stability characteristics of the underlying rates of return. This disturbing result is based on the theoretical Fama- Samuelson proposition of...
Persistent link: https://www.econbiz.de/10005413142
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Simulation-Based Pricing of Convertible Bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005
of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical …
Persistent link: https://www.econbiz.de/10005413169
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TESTING EFFICIENCY AND THE UNBIASEDNESS HYPOTHESIS OF THE EMERGING GREEK FUTURES MARKET
Kenourgios, Dimitris - EconWPA - 2005
This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-20 blue chip index futures contract. The FTSE/ATHENS STOCK EXCHANGE (ASE)-20 futures market is the first organized derivatives market established in Greece and its operation rests...
Persistent link: https://www.econbiz.de/10005413190