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This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011960799
This is the story of the Princeton Wine Group, a group whose membership has been relatively constant for almost 40 years. This group has enjoyed 244 blind tastings involving 1,708 different wines. A statistical analysis was performed at each tasting examining whether participants ranked the...
Persistent link: https://www.econbiz.de/10014636868
-driven convertible bonds pricing model, which is inspired by the recent success of generative adversarial networks (GAN), to address the … model has a better convertible bonds pricing performance than both model-driven models, i.e. Black-Scholes, the constant …
Persistent link: https://www.econbiz.de/10013272634
Using a sample of listed Chinese firms from 2007 to 2020, we investigate the governance implications of cross-ownership in corporate bond markets. We find that cross-ownership significantly reduces bond issuance spreads, suggesting that synergistic governance effects outweigh potential collusion...
Persistent link: https://www.econbiz.de/10015413994
We examine whether the uncertainty related to environmental, social, and governance (ESG) regulation developments is … reflected in asset prices. We proxy the sensitivity of firms to ESG regulation uncertainty by the disparity across the …
Persistent link: https://www.econbiz.de/10014486619
Persistent link: https://www.econbiz.de/10014532061
This article examines how the passage of the EU Taxonomy Regulation (TR) has affected the realized returns of TR … sustainable finance, whose work ultimately led to the TR. Second, stock market reactions around the publication of the regulation … environmentally sustainable companies increases with greater investor attention to the new regulation. Finally, we show that returns …
Persistent link: https://www.econbiz.de/10014084648
The short selling regulation of 2005 (regulation SHO), and its more restrictive version of 2008, was put in place to … curb potentially manipulative naked short selling. However, this regulation has been criticized in the literature for … reducing market quality. Contrary to other findings, I show that this regulation deters uninformed traders, and improves the …
Persistent link: https://www.econbiz.de/10013001337
, the results of the model suggest that under normal market conditions there may be a greater cost of regulation via …
Persistent link: https://www.econbiz.de/10012951835
diversification of risks by opening asset and derivative trading and market pricing in OTC markets. The third section describes FFDs …
Persistent link: https://www.econbiz.de/10013019443