Similar Search Results

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni (contributor); Foucault, Thierry (contributor) - 2008

past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors … (outsiders) observe prices with a delay. As prices are informative about the asset payoff, insiders get a strictly larger …

Persistent link: https://www.econbiz.de/10003740321

Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes …

Persistent link: https://www.econbiz.de/10010472845

The contribution of transaction costs to expected stock returns : a novel measure

Hiraki, Kazuhiro; Skiadopoulos, George - 2023

We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...

Persistent link: https://www.econbiz.de/10014231634

Financial conditions indicator for Brazil

Gaglianone, Wagner Piazza; Areosa, Waldyr Dutra - 2017

This paper proposes a methodology for constructing a Financial Conditions Indicator (FCI) based on factor analysis and the approaches of Brave and Butters (2011) and Aramonte et al. (2013). A selected set of variables is used and their information content aggregated into a single index that...

Persistent link: https://www.econbiz.de/10011715419

Understanding financial fluctuations and their relation to macroeconomic stability

Guarata, Nora; Pagliacci, Carolina - 2017

This paper examines how financial fluctuations and macroeconomic stability interact in the case of Venezuela, acknowledging that financial conditions deteriorating the macroeconomic environment can arise with both good and bad macroeconomic performance. An empirical methodology is provided that...

Persistent link: https://www.econbiz.de/10011673263

Oil price dynamics, macro-finance interactions and the role of financial speculation

Morana, Claudio - 2012 - First draft December 2011; this draft February 2011

What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks have been the major upward driver of the real oil price since the mid 1980s, also financial shocks have sizably contributed since the early 2000s, and at a much larger extent...

Persistent link: https://www.econbiz.de/10009506394

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011756113

Hawks vs. Doves : ECB's monetary policy in light of the Fed's policy stance

Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023

The secular increase in globalization led to a substantial increase in the interconnectedness of global financial markets. This has important implications for the conduct of monetary policy, as central bank policies may diverge across countries, potentially affecting key transmission channels of...

Persistent link: https://www.econbiz.de/10014445207

Konjunkturanalyse for Bornholm, 1987-1996. Kapitel 2: priser og realindkomst

Lund, Lars - 1999

prices are constructed for housing expenditure and for services. Weights for these parts of household budgets and the … residual are found from panel surveys of household consumption. Relative prices of the consumption bundle for each year in the …, employees and workers are constructed. Combining data on incomes and on relative prices gives estimates of real incomes. The …

Persistent link: https://www.econbiz.de/10012142219

Money as minimal complexity

Dubey, Pradeep; Sahi, Siddhartha; Shubik, Martin - 2015

Persistent link: https://www.econbiz.de/10011447248

1
2
3
4
5
6
7
8
9
10
Next
Last