Regulators in Belgium, France, Italy and Spain issued a short sales ban on financial stocks to contain volatility in August 2011. This paper uses a quasi-experimental approach to assess the ban's effectiveness. Control groups in the study are the ADRs of the banned financial stocks and their...

The aim of this article is to summarize exhaustively and concisely, the different methodologies for estimating the volatility that has been proposed for the real options approach (ROA), and also provide a theoretical and practical explanation for estimating an unbiased volatility and...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...

In this paper we employ the news aggregator Google News to demonstrate a strong link between the volatility in the stock market and the amount of news available to market participants. The paper also highlights some other areas, in finance and elsewhere, where news aggregators could be useful.

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-financial criteria in the stock selection process should arm the financial performance of these funds. As a consequence, many papers have attempted to measure the...

In this paper we analyze intraday data on a 10-minute interval and compared the major market index in South America, the Ibovespa and sync up with the S&P500 in New York. The main target is to determine differences of volatility, in the Brazilian index, before and after the opening bell in New...

The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the...

The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...

The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...

The catastrophe bonds have become an important asset class of the international financial market and the recent disasters that affected economies all over the world reinforced the need of reflection upon this risk transfer instrument. Within this context, this paper is an attempt of modelling...