Showing 1 - 10 of 73
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...
Persistent link: https://www.econbiz.de/10012502167
We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of...
Persistent link: https://www.econbiz.de/10003970296
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10009314017
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian...
Persistent link: https://www.econbiz.de/10009009518
We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We …
Persistent link: https://www.econbiz.de/10009375107
We use a dynamic model of cash management in which firms face competitive pressure to show that competition increases corporate cash holdings as well as the frequency and size of equity issues. In our model, these effects are driven by small, financially constrained firms, in contrast with the...
Persistent link: https://www.econbiz.de/10010258537
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index constituents' CDS spreads, and we construct a tradable...
Persistent link: https://www.econbiz.de/10010258589
While CBOE's VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk aversion in fixed-income markets. Indeed,...
Persistent link: https://www.econbiz.de/10009750617