Similar Search Results

Malz, Allan Martin - 2013

index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The …

Persistent link: https://www.econbiz.de/10009725591

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...

Persistent link: https://www.econbiz.de/10009679505

The overnight drift

Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021

We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...

Persistent link: https://www.econbiz.de/10012170744

CoVaR

Adrian, Tobias (contributor); … - 2008

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR and the financial system’s VaR. From our...

Persistent link: https://www.econbiz.de/10003781783

Inherent efficiency, security markets, and the pricing of investment strategies

Zou, Liang - 2000

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...

Persistent link: https://www.econbiz.de/10011304380

Investor sentiment and employment

Montone, Maurizio; Zwinkels, Remco C. J. - 2015

We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...

Persistent link: https://www.econbiz.de/10010503991

High-frequency trading around large institutional orders

Kervel, Vincent van; Menkveld, Albert J. - 2017

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...

Persistent link: https://www.econbiz.de/10011725287

The long and short of it : the post-crisis corporate CDS market

Boyarchenko, Nina; Costello, Anna M.; Shachar, Or - 2019

The 2007-09 financial crisis highlighted the vulnerability of financial institutions linked by a complex web of credit default swap (CDS) contracts, sparking a wave of regulatory changes to the structure of the market. In this paper, we provide broad evidence on the evolution of the CDS market...

Persistent link: https://www.econbiz.de/10011975486

Runs and flights to safety : are stablecoins the new money market funds?

Anadu, Kenechukwu; Azar, Pablo D.; Cipriani, Marco; … - 2023

Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to...

Persistent link: https://www.econbiz.de/10014391283

Striking out : biases and losses of retail option traders

Pitkäjärvi, Aleksi; Vacca, Matteo - 2024

-expiration, moneyness, and the strike price-influence the behavior of retail investors and exacerbate their behavioral biases. Retail … investors selectively exploit the expiration feature of options to mitigate the psychological costs associated with selling … losing positions, generating a strong disposition effect especially for out-of-the-money options. They also use the strike …

Persistent link: https://www.econbiz.de/10014541850