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Are stocks in new industries like lottery tickets?

Dwyer, Gerald; Barnhart, Cora - Federal Reserve Bank of Atlanta - 2002

We examine the distribution of returns in new industries to determine whether stocks in new industries are similar to lottery tickets. We focus on one characteristic of lottery tickets: negative expected returns. We examine data from the United States on sellers of own-brand personal computers,...

Persistent link: https://www.econbiz.de/10005721667

Pricing S&P 500 index options using a Hilbert space basis

Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Sailesh - Federal Reserve Bank of Atlanta - 1996

Hermite polynomials and test the model on S&P 500 index options. Restrictions on the prices of Hermite polynomial risk are … unrestricted four-parameter model results indicate skewness and excess kurtosis in the implied risk-neutral density. The skewness … of the risk-neutral density contrasts with the symmetry of the statistical density estimated using the Hermite model on …

Persistent link: https://www.econbiz.de/10005721713

Efficiency in index options markets and trading in stock baskets

Ackert, Lucy F.; Tian, Yisong S. - Federal Reserve Bank of Atlanta - 1999

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository...

Persistent link: https://www.econbiz.de/10005514577

A special focus on hedge funds : creators of risk? ; [Atlanta Fed's 2006 Financial Markets Conference, "Hedge Funds: Creators of Risk?" held May 15-18, 2006]

Dwyer, Gerald P. <jun.> (contributor) - 2006

Persistent link: https://www.econbiz.de/10003417628

A special focus on credit derivatives : where's the risk? ; [Atlanta Fed's 2007 Financial Markets Conference, "Credit Derivatives : where's the risk?" held May 14-16, 2007]

2007

Persistent link: https://www.econbiz.de/10003702303

Excess return, excess volatility, and negative autocorrelation caused by uncertainty aversion and risk aversion

Hu, Jie - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005721647

Asset prices and informed traders' abilities: evidence from experimental asset markets

Ackert, Lucy F.; Church, Bryan K.; Zhang, Ping - Federal Reserve Bank of Atlanta - 2002

This study reports the results of fifteen experimental asset markets designed to investigate the effects of forecasts on market prices, traders' abilities to assess asset value, and the link between the two. Across the fifteen markets, the authors investigate alternative forecast-generating...

Persistent link: https://www.econbiz.de/10005721663