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Ambiguity in Option Markets — Evidence from SEOs
Cumming, Douglas J. - 2017
explore the difference between option-implied and realised volatility following SEO events. After controlling for common risk …
Persistent link: https://www.econbiz.de/10012971611
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Private Debt : Volatility, Credit Risk, and Returns
Cumming, Douglas J. - 2016
related to volatility (as measured by ΔVIX) and to credit risk (ΔTED spread) but are not influenced by market liquidity …
Persistent link: https://www.econbiz.de/10013004697
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The Valuation Effect of Listing Standards : An Analysis of Venture Capital-Backed IPOs
Carpentier, Cécile - 2012
This paper examines the valuation of venture capital (VC)-backed IPOs in Canada and the US over the 1986-2007 period. The data indicate that differences in listing standards between Canada and the US account for fact that IPOs are valued substantially lower in Canada. We consider alternative...
Persistent link: https://www.econbiz.de/10013116887
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Do Markets Anticipate Changes in Risk after Major Corporate Events? Evidence from SEOs
Cumming, Douglas J. - 2014
-implied volatility and realized volatility to show that option markets do not fully predict risk dynamics following equity issues …. Moreover, we show that straddle strategies that explore the difference between option-implied and realized volatility following …
Persistent link: https://www.econbiz.de/10013064191
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Ambiguity in option markets : evidence from SEOs
Cumming, Douglas J.; Johanning, Lutz; Ordo, Umut; … - In: Journal of financial management, markets and institutions 5 (2017) 1, pp. 67-92
Persistent link: https://www.econbiz.de/10011954559
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High frequency trading and end-of-day price dislocation
Aitken, Michael J.; Cumming, Douglas J.; Zhang, Feng - 2013
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...
Persistent link: https://www.econbiz.de/10010201320
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High Frequency Trading and End-of-Day Price Dislocation
Cumming, Douglas J. - 2013
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...
Persistent link: https://www.econbiz.de/10013090219
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High Frequency Trading and End-of-Day Price Dislocation
Aitken, Michael J. - 2015
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be the result of market manipulation. Moreover, the...
Persistent link: https://www.econbiz.de/10013021205
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Riding the wave of crypto-exuberance : the potential misusage of corporate blockchain announcements
Akyildirim, Erdinç; Corbet, Shaen; Cumming, Douglas J.; … - In: Technological forecasting & social change : an … 159 (2020), pp. 1-25
Persistent link: https://www.econbiz.de/10012519604
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Investigating the Dynamics Between Price Volatility, Price Discovery, and Criminality in Cryptocurrency Markets
Corbet, Shaen - 2019
This paper identifies several stylised facts relating to the volatility and price discovery process from eight … exhibit weekend-volatility effects while intra-day volatility is found to be influenced by international trading times …, periods of substantial volatility in the markets for oil, and GBP/USD and cybercrime events. Secondly, a thorough …
Persistent link: https://www.econbiz.de/10012870964