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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10010951430
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The Supply and Demand of S&P 500 Put Options
Constantinides, George M.; Lian, Lei - National Bureau of Economic Research (NBER) - 2015
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …
Persistent link: https://www.econbiz.de/10011276422
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Notes for a Contingent Claims Theory of Limit Order Markets
Lehmann, Bruce N. - National Bureau of Economic Research (NBER) - 2005
This paper provides a road map for building a contingent claims theory of limit order markets grounded in a simple observation: limit orders are equivalent to a portfolio of cash-or-nothing and asset-or-nothing digital options on market order flow. However, limit orders are not conventional...
Persistent link: https://www.econbiz.de/10005714400
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Cephalon, Inc. Taking Risk Management Theory Seriously
Chacko, George; Tufano, Peter; Verter, Geoffrey - National Bureau of Economic Research (NBER) - 2000
We study a firm that justifies its novel use of equity derivatives as a cash-flow hedging strategy. Our purpose is to understand the challenge of translating risk management theory into managerial action. Cephalon Inc., a biotech firm, bought a large block of call options on its own stock. If...
Persistent link: https://www.econbiz.de/10005774665
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Model Uncertainty and Liquidity
Routledge, Bryan R.; Zin, Stanley E. - National Bureau of Economic Research (NBER) - 2001
Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset pricing and trading, in these cases, are intrinsically...
Persistent link: https://www.econbiz.de/10005089127
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Asset Return Dynamics under Bad Environment Good Environment Fundamentals
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …
Persistent link: https://www.econbiz.de/10005037685
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Generalized Transform Analysis of Affine Processes and Applications in Finance
Chen, Hui; Joslin, Scott - National Bureau of Economic Research (NBER) - 2011
Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities, computing equilibrium, and conducting structural estimations. We extend the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general...
Persistent link: https://www.econbiz.de/10008876853
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Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
Aulerich, Nicole M.; Irwin, Scott H.; Garcia, Philip - National Bureau of Economic Research (NBER) - 2013
The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures...
Persistent link: https://www.econbiz.de/10010969324
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Commodity and Asset Pricing Models: An Integration
Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - National Bureau of Economic Research (NBER) - 2013
We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models and used to substantially improve the estimates...
Persistent link: https://www.econbiz.de/10010950668
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Risk, Ambiguity, and the Exercise of Employee Stock Options
Izhakian, Yehuda; Yermack, David - National Bureau of Economic Research (NBER) - 2014
traditional measure of risk, equity volatility. We show that each variable has a statistically significant effect on the timing of … option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value … for the volatility and ambiguity variables imply similar magnitudes of economic impact upon the exercise decision, with …
Persistent link: https://www.econbiz.de/10010950897