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Power to Choose? An Analysis of Consumer Inertia in the Residential Electricity Market
Hortaçsu, Ali - 2015
residential electricity market, we document evidence of consumer inertia. We estimate an econometric model of retail choice to …
Persistent link: https://www.econbiz.de/10012457678
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Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
Cho, Young-Hye - 1999
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options … using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which … option market percentage spreads will be inversely related to the option market maker's ability to hedge his positions in the …
Persistent link: https://www.econbiz.de/10012471453
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Option-Implied Spreads and Option Risk Premia
Culp, Christopher L.; Gandhi, Mihir; Nozawa, Yoshio; … - National Bureau of Economic Research - 2021
We propose implied spreads (IS) and normalized implied spreads (NIS) as simple measures to characterize option prices. IS is the credit spread of an option's implied bond, the portfolio long a risk-free bond and short a put option. NIS normalizes IS by the risk-neutral default probability and...
Persistent link: https://www.econbiz.de/10012585425
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Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options
Bodie, Zvi - 1977
This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future...
Persistent link: https://www.econbiz.de/10012478918
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Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Chen, Hui - 2019
exposures. Using data for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods …
Persistent link: https://www.econbiz.de/10012479526
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned...
Persistent link: https://www.econbiz.de/10012480268
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Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
Constantinides, George M. - 2010
any risk averse investor holding the market and cash, net of transaction costs and bid ask spreads. The results are …
Persistent link: https://www.econbiz.de/10012462355
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Disasters implied by equity index options
Backus, David - 2009
We use prices of equity index options to quantify the impact of extreme events on asset returns. We define extreme events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants: skewness, kurtosis, and so on. We show that high-order...
Persistent link: https://www.econbiz.de/10012463409
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Mispricing of S&P 500 Index Options
Constantinides, George M. - 2008
-2006 which may be due to the lower quality of the data but, in any case, does not provide evidence that the options market is …
Persistent link: https://www.econbiz.de/10012464103
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Rare Disasters and Exchange Rates
Farhi, Emmanuel - 2008
the joint behavior of exchange rates, bonds, options and stocks across countries. The evidence from the options market …
Persistent link: https://www.econbiz.de/10012464842