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Tips and Tells from Managers : How Analysts and the Market Read Between the Lines of Conference Calls

Druz, Marina - 2015

Stock prices react significantly to the tone (negativity of words) managers use on earnings conference calls. This reaction reflects reasonably rational use of information. "Tone surprise" - the residual when negativity in managerial tone is regressed on the firm's recent economic performance...

Persistent link: https://www.econbiz.de/10012457675

Do Peso Problems Explain the Returns to the Carry Trade?

Burnside, A. Craig - 2008

We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs which are on average large and uncorrelated with traditional risk factors. We argue that...

Persistent link: https://www.econbiz.de/10012464592

Derivatives in International Capital Flows

Garber, Peter M. - 1998

This paper will discuss the role of derivative products in international capital flows, especially in providing a means …

Persistent link: https://www.econbiz.de/10012472188

Nonparametric Pricing of Interest Rate Derivative Securities

Ait-Sahalia, Yacine - 1995

We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative …

Persistent link: https://www.econbiz.de/10012473524

Banks and Derivatives

Gorton, Gary - 1995

In the last ten to fifteen years financial derivative securities have become an important, and controversial, product …, the difficulties with accurately reporting timely information concerning the value of firms' derivative positions, and the … concentration of activity in a small number of firms, has substantially increased the risk of collapse of the world banking system …

Persistent link: https://www.econbiz.de/10012473787

Aggregate Income Risks and Hedging Mechanisms

Shiller, Robert J. - 1993

Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets for perpetual claims on countries' incomes. The results indicate that the variability of returns is of a magnitude comparable to that of returns in stock markets. Evidence...

Persistent link: https://www.econbiz.de/10012474555

The Market for OTC Derivatives

Atkeson, Andrew G. - 2013

We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...

Persistent link: https://www.econbiz.de/10012459749

Carry Trade and Systemic Risk : Why are FX Options so Cheap?

Caballero, Ricardo J. - 2012

In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...

Persistent link: https://www.econbiz.de/10012460016

A Transparency Standard for Derivatives

Acharya, Viral V. - 2011

Derivatives exposures across large financial institutions often contribute to - if not necessarily create - systemic risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk contributions. In this paper, I explain how a...

Persistent link: https://www.econbiz.de/10012461100

Accounting Standards, Information Flow, and Firm Investment Behavior

Cummins, Jason G. - 1994

We present a description of two different accounting regimes that govern reporting practice in most developed countries. 'One-book' countries, e.g. Germany, use their tax books as the basis for financial reporting and 'two-book' countries, e.g. the United States, keep the books largely separate....

Persistent link: https://www.econbiz.de/10012474247

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