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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

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

Market Efficiency and Marketing to Enhance Income of Crop Producers

Zulauf, Carl R.; Irwin, Scott H. - EconWPA - 1997

Recent changes in farm policy have renewed interest in using marketing strategies based on futures and options markets … theory of the behavior of futures and options markets, the efficient market hypothesis. The following conclusion is reached …

Persistent link: https://www.econbiz.de/10005134728

Accounting for Employee Stock Options: An Economics Perspective

Cai, Junning - EconWPA - 2004

Instead of relying on accounting principles and illustrative accounting examples, this paper examines the rationale for ESO expensing from an economics perspective and has the following findings. In principle, while ESO expensing is justified under ESOs’ expense-postponing function, it is not...

Persistent link: https://www.econbiz.de/10005134743

When Does Extra Risk Strictly Increase the Value of Options?

Rasmusen, Eric - EconWPA - 2004

It is well known that risk increases the value of options. This paper makes that precise in a new way. The conventional …

Persistent link: https://www.econbiz.de/10005134757

Long Memory Options: LM Evidence and Simulations

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

to incorporate the various degrees of persistence into the Black-Scholes pricing formula. Long memory options are of … considerable importance in corporate remuneration packages, since stock options are written on a company's own shares for long … valuation of such stock options, the degrees of persistence of the companies' share markets must be precisely measured and …

Persistent link: https://www.econbiz.de/10005134830

Optimal Currency Hedging

Albuquerque, Rui - EconWPA - 2004

contrary to conventional wisdom, we show that forwards dominate options as hedges of downside risk. …

Persistent link: https://www.econbiz.de/10005134928

Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax

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

-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

Persistent link: https://www.econbiz.de/10005134941

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 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