Similar Search Results

Are public and private asset returns and risks the same? : evidence from real estate data

Hoesli, Martin; Oikarinen, Elias - 2013

This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...

Persistent link: https://www.econbiz.de/10010256953

The valuation of iIlliquid assets : a focus on private equity and real estate

Gibson, Rajna; Hoesli, Martin; Shan, Jiajun - 2022

framework that can alleviate some of the drawbacks of traditional approaches. A new jump–diffusion option pricing model and a …

Persistent link: https://www.econbiz.de/10013168778

Corporate investment and financing under asymmetric information

Morellec, Erwan; Schürhoff, Norman - 2010 - This version March 2010

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

Is the price kernel monotone?

Barone-Adesi, Giovanni; Dall'O, Hakim - 2010

dataset and introducing non-Gaussian innovations, the pricing kernel puzzle that arises in Jackwerth (2000) disappears both in …

Persistent link: https://www.econbiz.de/10003973040

Realizing smiles: pricing options with realized volatility

Corsi, Fulvio; Fusari, Nicola; Vecchia, Davide la - 2010

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

Persistent link: https://www.econbiz.de/10003973052

Detecting informed trading activities in the options markets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

Persistent link: https://www.econbiz.de/10009314008

Detecting informed trading activities in the options markets : appendix on subprime financial crisis

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

Persistent link: https://www.econbiz.de/10009314012

The value of tradeability

Chesney, Marc; Kempf, Alexander - 2011

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is … the value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is … cannot be traded and the more trading dates the liquid stock offers. -- Tradeability ; Liquidity ; Option Pricing …

Persistent link: https://www.econbiz.de/10009314017

Weak approximation of G-expectations

Dolinsky, Yan; Nutz, Marcel; Soner, Halil Mete - 2011

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

Collateral Smile

Leippold, Markus; Su, Lujing - 2011

the market. collateral requirements, funding costs, volatility smile, option pricing …

Persistent link: https://www.econbiz.de/10009375107