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The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance
Rutten, Lamon - EconWPA - 2003
This paper describes the experiences of developing country enterprises, farmers and governments with commodity price risk management and various forms of structured finance. It explores the constraints that these entities face in using modern financial markets, including counterparty and...
Persistent link: https://www.econbiz.de/10005413090
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Market Efficiency and Marketing to Enhance Income of Crop Producers
Zulauf, Carl R.; Irwin, Scott H. - EconWPA - 1997
Recent changes in farm policy have renewed interest in using marketing strategies based on futures and options markets … theory of the behavior of futures and options markets, the efficient market hypothesis. The following conclusion is reached …
Persistent link: https://www.econbiz.de/10005134728
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Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic
Hanousek, Jan; Nemecek, Libor - EconWPA - 2001
If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related question is whether two parallel emerging markets offering more or less the same securities but using different institutional designs, can behave as a single, fully integrated...
Persistent link: https://www.econbiz.de/10005077009
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Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media
Schuster, Thomas - EconWPA - 2003
options. Meta-communication thus generated is a prime source of instability in financial markets. …
Persistent link: https://www.econbiz.de/10005134753
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Long Memory Options: LM Evidence and Simulations
Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005
to incorporate the various degrees of persistence into the Black-Scholes pricing formula. Long memory options are of … considerable importance in corporate remuneration packages, since stock options are written on a company's own shares for long … valuation of such stock options, the degrees of persistence of the companies' share markets must be precisely measured and …
Persistent link: https://www.econbiz.de/10005134830
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Long Memory Options: Valuation
JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004
of persistence into the binomial and Black-Scholes pricing formulas. Long memory options are of considerable importance …
Persistent link: https://www.econbiz.de/10005561723
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Efficiency tests in the Iberian stock markets
Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004
This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...
Persistent link: https://www.econbiz.de/10005134722
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Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media
Schuster, Thomas - EconWPA - 2003
The business media play an active role in influencing stock prices. Statistically significant excess returns at the time of the publication of stock recommendations have been documented many times. Frequently these abnormal gains begin to accumulate long before the publication date. In most...
Persistent link: https://www.econbiz.de/10005134740
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Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
Drehmann, Mathias; Oechssler, Joerg; Roider, Andreas - EconWPA - 2002
We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that...
Persistent link: https://www.econbiz.de/10005413109
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Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases
Podpiera, Richard - EconWPA - 2001
This paper contributes to the discussion on the efficiency of newly emerged financial markets in transition economies. We use data on one of the most developed financial markets in transition, the Czech Republic, to investigate financial market efficiency by examining the reaction to...
Persistent link: https://www.econbiz.de/10005413154