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Persistent link: https://www.econbiz.de/10010799306
This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...
Persistent link: https://www.econbiz.de/10010799319
others. In the empirical analysis, we study dependence under the risk-neutral measure using credit default swap (CDS) spread …
Persistent link: https://www.econbiz.de/10010905302
This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...
Persistent link: https://www.econbiz.de/10010708647
The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...
Persistent link: https://www.econbiz.de/10010708814
We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...
Persistent link: https://www.econbiz.de/10010709003
Purpose – This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In...
Persistent link: https://www.econbiz.de/10010960585
In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...
Persistent link: https://www.econbiz.de/10010706457
In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...
Persistent link: https://www.econbiz.de/10010706604
We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...
Persistent link: https://www.econbiz.de/10010706980