Similar Search Results

Trader positions and marketwide liquidity demand

Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017

In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...

Persistent link: https://www.econbiz.de/10011803199

Tractable rare disaster probability and options-pricing

Barro, Robert J.; Liao, Gordon Y. - 2019

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of … options data on the S&P 500 index from 1983-2018 and for analogous indices for other countries. The disaster probability …

Persistent link: https://www.econbiz.de/10012182396

Learning from history : volatility and financial crises

Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2016

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking...

Persistent link: https://www.econbiz.de/10011578981

Credit scores, social capital, and stock market participation

Bricker, Jesse; Li, Geng - 2017

While a rapidly growing body of research underscores the influence of social capital on financial decisions and economic developments, objective data-based measurements of social capital are lacking. We introduce average credit scores as an indicator of a community's social capital and present...

Persistent link: https://www.econbiz.de/10011708125