Narrow search
Showing 1 - 10 of 92
Cover Image
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
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
Cover Image
Agricultural commodity futures : searching for potential winners
Gulati, Ashok; Chatterjee, Tirtha; Hussain, Siraj - 2017
Agricultural futures markets can provide useful information to farmers for taking more informed planting decisions for their crops, which are forward looking, and thus reduce their market risk. But in India, agri-futures have gone through a roller-coaster ride since their mega opening in 2003,...
Persistent link: https://www.econbiz.de/10011759473
Cover Image
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
Cover Image
Capital structure and financial flexibility : expectations of future shocks
Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014 - This draft: 3 October 2014
equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …
Persistent link: https://www.econbiz.de/10010472840
Cover Image
National pride and tax compliance : a laboratory experiment using a physiological marker
Macintyre, Alison; Chan, Ho Fai; Schaffner, Markus; … - 2021
This paper reports on a laboratory experiment designed specifically to test the influence of national pride on tax honesty while using a physiological marker to observe emotional responses to patriotic priming. Participants were exposed to one of three framing videos before earning income in a...
Persistent link: https://www.econbiz.de/10012430805
Cover Image
Automatic product classification in international trade : machine learning and large language models
Marra de Artiñano, Ignacio; Riottini Depetris, Franco; … - 2023 - This version: July 2023
Accurately classifying products is essential in international trade. Virtually all countries categorize products into tariff lines using the Harmonized System (HS) nomenclature for both statistical and duty collection purposes. In this paper, we apply and assess several different algorithms to...
Persistent link: https://www.econbiz.de/10014536623
Cover Image
The Value of Tradeability
Chesny, Mark; Kempf, Alexander - Institut für Schweizerisches Bankwesen <Zürich> - 2011
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/10009249000
Cover Image
The Endogenous Price Dynamics of Emission Allowances: An Application to CO2 Option Pricing
Chesney, Marc; Taschini, Luca - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, such as air and water. Tradable permits have emerged as the most cost effective measure leading to the emergence of both nationwide (SO2 ) and supranational (CO2 ) emission...
Persistent link: https://www.econbiz.de/10005857751
Cover Image
Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032
Cover Image
Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story
Jeanneret, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
volatility: the effct is negative for low levels of uncertainty and positive for higher levels. I also construct a real-options … predictions and the theoretical approach stand in stark contrast to the real-options literature, which implies a negative relation … the influence of exchange rate volatility on the expected investment level. The paper therefore extends the real-options …
Persistent link: https://www.econbiz.de/10005858054