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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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Global Asset Pricing
Lewis, Karen K. - National Bureau of Economic Research (NBER) - 2011
continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with … standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to … response to this information. Foreign exchange markets also display anomalous relationships. The forward rate predicts the …
Persistent link: https://www.econbiz.de/10009228888
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Tail Risk in Momentum Strategy Returns
Jagannathan, Ravi; Daniel, Kent; Kim, Soohun - National Bureau of Economic Research (NBER) - 2012
Price momentum strategies have historically generated high positive returns with little systematic risk. However, these … to the risk-free asset when the ex-ante probability of the turbulent state is high exhibits dramatically better …
Persistent link: https://www.econbiz.de/10010570537
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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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Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
Wolfers, Justin; Snowberg, Erik - National Bureau of Economic Research (NBER) - 2010
this phenomenon focus on rational gamblers who overbet longshots due to risk-love. The competing behavioral explanations …
Persistent link: https://www.econbiz.de/10008631078
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Credit Default Swaps and the Credit Crisis
Stulz, René M. - National Bureau of Economic Research (NBER) - 2009
contracts involving counterparty risk and that they facilitate speculation involving negative views of a firm's financial …
Persistent link: https://www.econbiz.de/10008634652
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Party Influence in Congress and the Economy
Wolfers, Justin; Zitzewitz, Eric; Snowberg, Erik - National Bureau of Economic Research (NBER) - 2006
To understand the extent to which partisan majorities in Congress influence economic policy, we compare financial market responses in recent midterm elections to Presidential elections. We use prediction markets tracking election outcomes as a means of precisely timing and calibrating the...
Persistent link: https://www.econbiz.de/10005828770
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Demand-Based Option Pricing
Pedersen, Lasse Heje; Garleanu, Nicolae; Poteshman, Allen M. - National Bureau of Economic Research (NBER) - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005830974
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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
Ofek, Eli; Richardson, Matthew; Whitelaw, Robert F. - National Bureau of Economic Research (NBER) - 2003
In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically...
Persistent link: https://www.econbiz.de/10005774413
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Trading Inefficiencies in California's Electricity Markets
Borenstein, Severin; Bushnell, James; Knittel, … - National Bureau of Economic Research (NBER) - 2001
We study price convergence between the two major markets for wholesale electricity in California from their deregulation in April 1998 through November 2000, nearly the end of trading in one market. We would expect profit-maximizing traders to have eliminated persistent price differences between...
Persistent link: https://www.econbiz.de/10005778023