Showing 1 - 10 of 16
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas primarily arise from the disproportionate weight the Fama-French factors place on small...
Persistent link: https://www.econbiz.de/10008852951
This paper develops a real-time structural model of price formation, and uses it to investigate the dynamics of effective quotes and bid-ask spreads between consecutive trades. There is some evidence that the effective bid-ask spreads increase over time when no orders arrive. The effective...
Persistent link: https://www.econbiz.de/10005369013
Substantial progress has been made in extending the Black-Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps.On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing and...
Persistent link: https://www.econbiz.de/10005369017
Substantial progress has been made in extending the Black- Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps. On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing...
Persistent link: https://www.econbiz.de/10005586865
In order to explain in a systematic way why certain combinations of market, financial, and legal structures may be intrinsic to certain capabilities to exchange real goods, we introduce criteria for abstracting the qualitative functions of markets. The criteria involve the number of strategic...
Persistent link: https://www.econbiz.de/10005586976
We use a panel of more than 100,000 investor accounts in US stocks over the period 1991-1995 to construct an investor-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors...
Persistent link: https://www.econbiz.de/10005587004
We construct a new method of decomposing the variance of national incomes into components in such a way as to indicate the most important 'residual' risk-sharing opportunities among peoples of the world. The risk-sharing opportunities we study are nonsystematic risk-sharing opportunities. These...
Persistent link: https://www.econbiz.de/10005587011
A standard assumption of market microstructure models is that traders process the information content of past trading activities instantly. In a more realistic setting, they need time to do so and market makers are aware of that. Therefore, clustering trades with shorter duration (waiting time...
Persistent link: https://www.econbiz.de/10005587028
This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that when sampled intraday (or inter-day), (i) call (put) prices often go down (up) even as the underlying price goes up, and (ii) call and put prices often...
Persistent link: https://www.econbiz.de/10005587032
Different forms of market making systems can be found in most developed capital markets. These markets, instead of having a pure electronic limit order book design, follow one of three forms of market making: 1) a quote-driven market making system, 2)a centralized market making system in an...
Persistent link: https://www.econbiz.de/10005587047