Showing 1 - 10 of 65
We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with price risk,...
Persistent link: https://www.econbiz.de/10010399342
We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity...
Persistent link: https://www.econbiz.de/10011713434
long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics …
Persistent link: https://www.econbiz.de/10012620725
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10003919393
We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage operations to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...
Persistent link: https://www.econbiz.de/10003919404
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/10008666521
uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based …
Persistent link: https://www.econbiz.de/10010235241
-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co …
Persistent link: https://www.econbiz.de/10010235242
-looking information from the options market and can be used to construct an implied estimator of the full covariance, co-skewness, and co …
Persistent link: https://www.econbiz.de/10010207818
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/10009705476