Narrow search
Showing 1 - 10 of 194
Cover Image
The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10010951430
Cover Image
The Supply and Demand of S&P 500 Put Options
Constantinides, George M.; Lian, Lei - National Bureau of Economic Research (NBER) - 2015
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk-neutral variance, contrary to the implications of a broad class of no-arbitrage models. The key to the puzzle lies in recognizing that, as the disaster risk increases, customers...
Persistent link: https://www.econbiz.de/10011276422
Cover Image
Notes for a Contingent Claims Theory of Limit Order Markets
Lehmann, Bruce N. - National Bureau of Economic Research (NBER) - 2005
This paper provides a road map for building a contingent claims theory of limit order markets grounded in a simple observation: limit orders are equivalent to a portfolio of cash-or-nothing and asset-or-nothing digital options on market order flow. However, limit orders are not conventional...
Persistent link: https://www.econbiz.de/10005714400
Cover Image
Cephalon, Inc. Taking Risk Management Theory Seriously
Chacko, George; Tufano, Peter; Verter, Geoffrey - National Bureau of Economic Research (NBER) - 2000
We study a firm that justifies its novel use of equity derivatives as a cash-flow hedging strategy. Our purpose is to understand the challenge of translating risk management theory into managerial action. Cephalon Inc., a biotech firm, bought a large block of call options on its own stock. If...
Persistent link: https://www.econbiz.de/10005774665
Cover Image
Model Uncertainty and Liquidity
Routledge, Bryan R.; Zin, Stanley E. - National Bureau of Economic Research (NBER) - 2001
pricing and trading, in these cases, are intrinsically model dependent. Moreover, the observed behavior of traders and …
Persistent link: https://www.econbiz.de/10005089127
Cover Image
Asset Return Dynamics under Bad Environment Good Environment Fundamentals
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time …
Persistent link: https://www.econbiz.de/10005037685
Cover Image
Generalized Transform Analysis of Affine Processes and Applications in Finance
Chen, Hui; Joslin, Scott - National Bureau of Economic Research (NBER) - 2011
Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities … characteristic functions. We illustrate the applications of the generalized transform method in pricing contingent claims and solving …
Persistent link: https://www.econbiz.de/10008876853
Cover Image
Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
Aulerich, Nicole M.; Irwin, Scott H.; Garcia, Philip - National Bureau of Economic Research (NBER) - 2013
The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures...
Persistent link: https://www.econbiz.de/10010969324
Cover Image
Commodity and Asset Pricing Models: An Integration
Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - National Bureau of Economic Research (NBER) - 2013
We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the … financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models … methodology can be used with any pair of commodity and asset pricing models. An implementation of the methodology is presented …
Persistent link: https://www.econbiz.de/10010950668
Cover Image
Risk, Ambiguity, and the Exercise of Employee Stock Options
Izhakian, Yehuda; Yermack, David - National Bureau of Economic Research (NBER) - 2014
We investigate the importance of ambiguity, or Knightian uncertainty, in executives' decisions about when to exercise stock options. We develop an empirical estimate of ambiguity and include it in regression models alongside the more traditional measure of risk, equity volatility. We show that...
Persistent link: https://www.econbiz.de/10010950897