Showing 1 - 10 of 18
An important research area of the corporate yield spread literature seeks to measure the proportion of the spread explained by various factors such as the possibility of default, liquidity or tax differentials. We contribute to this literature by assessing the ability of observed macroeconomic...
Persistent link: https://www.econbiz.de/10012734225
We investigate the risk and return of a variety of trading strategies involving options on the Samp;P 500. Overall, we find that strategies that short options constitute very good deals. However, exploiting these good deals can be extremely difficult. Trading costs and margin requirements...
Persistent link: https://www.econbiz.de/10012735285
We analyze a six-factor model for Treasury bonds, corporate bonds, and swap rates and decompose swap spreads into three components: A convenience yield from holding Treasuries, a credit risk element from the underlying LIBOR rate, and a factor specific to the swap market. The convenience yield...
Persistent link: https://www.econbiz.de/10012721797
This paper argues that liquidity events in short selling, such as short squeezes, margin calls, and stock specialness, may be an important part of short-selling constraints. We gauge the importance of liquidity events by utilizing a market-based measure, which is the cost of using options to...
Persistent link: https://www.econbiz.de/10012734974
We analyze simultaneous announcements of current dividends, current earnings and management forecasts of next year's earnings. By conducting the empirical analysis using Danish data, this study is the first not to suffer from problems related to low levels of agency costs and informational...
Persistent link: https://www.econbiz.de/10012735030
We study the impact of menu representation on portfolio choice and we show that investors choose assets as a function of the way they are represented in the menu available to them. We use the choices of mutual funds for retirement accounts of the Swedish population. We show that investors prefer...
Persistent link: https://www.econbiz.de/10012734178
In this paper we investigate how the enactment and enforcement of insider trading restrictions affect the way in which information about acquisitions is released before the actual acquisition announcement. We analyze a sample with almost 19,000 acquisition announcements from 48 countries. We...
Persistent link: https://www.econbiz.de/10012727292
We explore the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors using a regime switching model. We report three previously undocumented features in hedge fund data. First, we find a weak inflow-performance relation at quarterly...
Persistent link: https://www.econbiz.de/10012727396
This paper shows that some of the most prominent risk-based theories offered as explanation for the value premium are at odds with data. The models proposed by Fama and French (1993), Lettau and Ludvingson (2001), Campbell and Vuolteenaho (2004), and Yogo (2005) can capture the cross section of...
Persistent link: https://www.econbiz.de/10012731877
This paper makes three contributions to our understanding of the price discovery process in currency markets. First, it provides evidence that this process cannot be the familiar one based on adverse selection and customer spreads, since such spreads are inversely related to a trade's likely...
Persistent link: https://www.econbiz.de/10012731882