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Managerial overconfidence and corporate risk management

Adam, Tim R.; Fernando, Chitru S.; Golubeva, Evgenia - 2012

We show that managerial overconfidence, which has been found to influence a number of corporate financial decisions, also affects corporate risk management. We find that managers increase their speculative activities using derivatives following speculative gains, while they do not reduce their...

Persistent link: https://www.econbiz.de/10010281528

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Röthig, Andreas; Chiarella, Carl - 2006

This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...

Persistent link: https://www.econbiz.de/10010266873

Why do firms engage in selective hedging?

Adam, Tim R.; Fernando, Chitru S.; Salas, Jesus M. - 2012

Surveys of corporate risk management document that selective hedging, where managers incorporate their market views into firms' hedging programs, is widespread in the U.S. and other countries. Stulz (1996) argues that selective hedging could enhance the value of firms that possess an information...

Persistent link: https://www.econbiz.de/10010281517

Speculation in Standard Auctions with Resale

Garratt, Rod; Tröger, Thomas - 2005

In standard auctions with symmetric, independent private value bidders resale creates a role for a speculator - a bidder who is commonly known to have no use value for the good on sale. For second-price and English auctions the efficient value-bidding equilibrium coexists with a continuum of...

Persistent link: https://www.econbiz.de/10010263133

Bubbles and Experience: An Experiment on Speculation

Dufwenberg, Martin; Lindqvist, Tobias; Moore, Evan - 2003

We investigate experimentally how the share of experienced traders in double-auction asset markets affects trading, in particular the occurrence of bubble-crash pricing patterns. In each session, six subjects trade in three successive market rounds and gain experience. In a fourth round,...

Persistent link: https://www.econbiz.de/10010320151

Stochastic behavioral asset pricing models and the stylized facts

Lux, Thomas - 2008

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...

Persistent link: https://www.econbiz.de/10010273169

The misinformation effect in financial markets: An emerging issue in behavioural fianance

Polak, Mateusz - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 55-61

The following paper is a theoretical introduction of the misinformation effect to behavioural finance. The misinformation effect causes a memory report regarding an event or particular knowledge to become contaminated with misleading information from another source. The paper aims to describe...

Persistent link: https://www.econbiz.de/10011551375

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

Persistent link: https://www.econbiz.de/10010326219

Global food price volatility and spikes: An overview of costs, causes, and solutions

von Braun, Joachim; Tadesse, Getaw - 2012

from the supply side, biofuel production from the demand side, and speculation in commodity futures from the market side … speculation in commodity futures are not yet well understood. However, speculative trading in commodity futures should not be … nonmarket contexts that guide the behavioral and strategic choices of speculators. Whereas speculation caused by manipulative …

Persistent link: https://www.econbiz.de/10010323663

A General Financial Transaction Tax: A Short Cut of the Pros, the Cons and a Proposal

Schulmeister, Stephan - 2009

The idea of introducing a general financial transaction tax (FTT) has recently attracted rising attention. There are three reasons for this interest: First, the economic crisis was deepened by the instability of stock prices, exchange rates and commodity prices. This instability might be...

Persistent link: https://www.econbiz.de/10011435269

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