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The hedge ratio and the empirical relationship between the stock and futures markets : a new approach using wavelet analysis
In, Francis Haeuck; Kim, Sangbae - In: The journal of business : B 79 (2006) 2, pp. 799-820
Persistent link: https://www.econbiz.de/10003310384
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Are Investors Irrational? - Study on China Warrant Market
Wang, Yintian - 2013
the rational hedging and speculation motivation is one important cause for warrant price deviations. Investors do not … speculate irrationally under the resale motivation all the time, neither do they ignore warrants' hedging function. Instead …, investors would trade for hedging and speculation purpose and drive the warrant prices when the underlying assets are …
Persistent link: https://www.econbiz.de/10013088292
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Extending financialisation and increasing fragility of the financial system
Iancu, Aurel - 2013
Financialisation is a complex and dynamic process of enlarging the monetary and financial relations in economy and society. This paper deals with the analysis of the financial market structure such as: the role and magnitude of financial sectors, the dynamics of the banking sector versus the...
Persistent link: https://www.econbiz.de/10010529060
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Stock liquidity and corporate cash holdings
Nyborg, Kjell G.; Wang, Zexi - 2013
We advance the feedback/cash as ammunition hypothesis, namely that firms hold cash to address feedback from stock prices to cash ows and growth opportunities. Firms with more liquid stocks are expected to hold more cash, the opposite of the prediction from a standard information asymmetry...
Persistent link: https://www.econbiz.de/10010256421
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Financial frictions and the reaction of stock prices to monetary policy shocks
Ozdagli, Ali - 2014 - This version: July 29, 2014
This paper reveals and tests a new theoretical implication of the credit channel of monetary policy: as financial frictions (monitoring or auditing costs) increase, the reaction of stock prices to monetary policy shocks decreases. Correspondingly, towards the end of the Enron accounting scandal,...
Persistent link: https://www.econbiz.de/10010395119
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Does Decomposing Realized Volatility Help in Risk Prediction : Evidence from Chinese Mainland Stocks
Liao, Yin - 2011
This article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps in three Chinese stocks, and find that relative to...
Persistent link: https://www.econbiz.de/10013131542
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Do Industries Predict the Stock Market Due to Slow Diffusion of Information?
Shah, Attaullah - 2012
The slow diffusion of information hypothesis has emerged as a more convincing explanation for lead-lag patterns in assets returns compared to traditional explanations such as non-synchronous or thin trading, liquidity factor, or size factor, etc. We provide further support to slow diffusion of...
Persistent link: https://www.econbiz.de/10013112645
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Venture Capital Firms Valuation in Bull and Bear Markets : Evidence From Sweden
Isaksson, Anders - 2020
This study uses an experimentally designed case study approach to investigate Swedish venture capital firms' valuation practices in two different economic contexts – the economic boom (bull market) of 1999 and the downturn (bear market) of 2002. A key finding in our study is that during...
Persistent link: https://www.econbiz.de/10012838963
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The Effect of Tenure-Based Voting Rights on Stock Market Attractiveness : Evidence From the Florange Act
Bourveau, Thomas - 2019
We examine the capital market consequences of a regulatory intervention aimed at generalizing tenure voting in French public companies. The 2014 Florange Act departs from the ‘one share one vote' principle by automatically granting double voting rights (DVR) to shares held for at least two...
Persistent link: https://www.econbiz.de/10012893955
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Spare Tire? Stock Markets, Banking Crises, and Economic Recoveries
Levine, Ross - 2018
Do stock markets act as a spare tire during banking crises, providing an alternative corporate financing channel and mitigating the economic severity of these crises? Using firm-level data in 36 countries from 1990 through 2011, we find that the adverse consequences of banking crises on equity...
Persistent link: https://www.econbiz.de/10012937548