Similar Search Results

Enforcing the Law of One Price: Nonlinear Mean Reversion in the ADR Market

Dante Suarez, E. - In: Managerial Finance 31 (2005) 8, pp. 1-17

, and it is the presence of high frequency arbitrage activity that forces these stock pairs to be most commonly in relative …‐lived. The TAR specification models the neutralization of arbitrage forces with thresholds that separate outer regions where …

Persistent link: https://www.econbiz.de/10014939814

Designing natural gas utility hedge programs with call options

Cita, John; Kwak, Soojong; Lien, Donald - In: Managerial Finance 33 (2007), pp. 253-269

Purpose - To evaluate various hedge programs designed to minimize the risk of an extreme monthly gas bill subject to a pre-determined hedge program budget. Design/methodology/approach -Historical data were collected on natural gas spot and futures prices. Also, theoretical options prices were...

Persistent link: https://www.econbiz.de/10010814808

Designing natural gas utility hedge programs with call options

Cita, John; Kwak, Soojong; Lien, Donald - In: Managerial Finance 33 (2007) 4, pp. 253-269

Purpose – To evaluate various hedge programs designed to minimize the risk of an extreme monthly gas bill subject to a pre‐determined hedge program budget. Design/methodology/approach – Historical data were collected on natural gas spot and futures prices. Also, theoretical options prices...

Persistent link: https://www.econbiz.de/10014939921

Subperiod robustness checks: testing for effect mean stationarity

Haggard, K. Stephen; Witte, H. Douglas - In: Managerial Finance 38 (2012) May, pp. 530-542

Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing … effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing … paper sheds light on an analytical oversight in the asset pricing anomalies literature and suggests an appropriate test to …

Persistent link: https://www.econbiz.de/10010540359

Macroeconomic news and risk factor innovations

Gosnell, Thomas; Nejadmalayeri, Ali - In: Managerial Finance 36 (2010) July, pp. 566-582

Purpose – The purpose of this paper is to determine if macroeconomic announcements affect the Fama-French market, size, book-to-market risk factors and momentum factor. Design/methodology/approach – Using unexpected announcements of major macroeconomic indicators, a study is made of how...

Persistent link: https://www.econbiz.de/10009275369

Vulnerable American options

Klein, Peter - In: Managerial Finance 36 (2010) May, pp. 414-430

Purpose – Scholars have examined the importance of a firm's dividend policy through two competing paradigms: the signalling hypothesis and the free cash-flow hypothesis. It has been argued that our understanding of dividend policy is hindered by the lack of a model that integrates the two...

Persistent link: https://www.econbiz.de/10009275401

Market timing and the determinants of performance of sector funds over the business cycle

Kaushik, Abhay; Pennathur, Anita - In: Managerial Finance 36 (2010) July, pp. 583-602

Purpose – Market-timing skills of fund managers are an important issue for both mutual fund investors and researchers. The purpose of this paper is to analyze the market-timing skills and determinants of performance of sector funds across business cycles to see whether sector fund managers...

Persistent link: https://www.econbiz.de/10009275411

Earnings smoothing and the underpricing of seasoned equity offerings

Ngo, Anh Duc; Varela, Oscar - In: Managerial Finance 38 (2012) September, pp. 833-859

-stage least square estimation was used to address the possible endogeneity of pricing and earnings smoothing. Findings – Smooth …

Persistent link: https://www.econbiz.de/10010610995

Recent developments in exchange-traded fund literature: Pricing efficiency, tracking ability, and effects on underlying securities

Charupat, Narat; Miu, Peter - In: Managerial Finance 39 (2013) April, pp. 427-443

, the pricing efficiency, the tracking ability/performance, and the impact on underlying securities of exchange-traded funds …

Persistent link: https://www.econbiz.de/10010814850

Pricing the lease during the contract: an in-progress approach to lease evaluation

Carretta, Alessandro; Nicolini, Gianni - In: Managerial Finance 35 (2009), pp. 841-859

Purpose - Leasing evaluation is a subject that has drawn significant interest in economic circles for many years. The numerous models proposed in the literature have approached the topic from a variety of outlooks and approaches. The contributions made to date, however, all share what would...

Persistent link: https://www.econbiz.de/10010814892