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Measuring patterns of price movements in the Treasury bill futures market
Dale, Charles; Workman, Rosemarie - 1981
There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook...
Persistent link: https://www.econbiz.de/10015237994
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Banking Stability in the ESG Framework Across Italian Regions
Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024
This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...
Persistent link: https://www.econbiz.de/10015213734
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Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz; Yildizhan, Celim - 2009
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...
Persistent link: https://www.econbiz.de/10015241210
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Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz; Yildizhan, Celim - 2009
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...
Persistent link: https://www.econbiz.de/10015241237
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - 2013
The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications,...
Persistent link: https://www.econbiz.de/10015246741
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Die Theorie der fairen geometrischen Rendite
Sonntag, Dominik - 2018
The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …
Persistent link: https://www.econbiz.de/10015260519
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Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices
Mehta, Deepshikha - 2015
A decent budgetary portfolio is nothing more, and nothing less, than an accumulation of advantages that develop in quality and produce abundance money for the financial specialist to spend or reinvest. Markowitz (1959) is one of the pioneers of present day portfolio hypothesis. Generally, the...
Persistent link: https://www.econbiz.de/10015248891
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Usefulness of Treasury Bill Futures as Hedging Instruments
Cicchetti, Paul; Dale, Charles; Vignola, Anthony - 1981
In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were more effective than T-Bill futures in reducing price...
Persistent link: https://www.econbiz.de/10015236513
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Is the Futures Market for Treasury Bills Efficient?
Vignola, Anthony; Dale, Charles - 1979
In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury...
Persistent link: https://www.econbiz.de/10015238071
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The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications
Vignola, Anthony; Dale, Charles - 1980
theory of the term structure of interest rates. In general, the results show that the overnight cost-of-carry model is better …
Persistent link: https://www.econbiz.de/10015238107