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clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is … market on the energy market became significantly greater for the futures risk premium in the period following the 2008 crisis …. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances …
Persistent link: https://www.econbiz.de/10012851801
The Indian Stock market undoubtedly experienced tremendous growth in the trading activity in the last twenty-five years …. The Derivatives segment of the market began its operations with the launch of Index Futures by the National Stock exchange …. SEBI laid its objectives in regulating derivative markets to ensure transparent trading environment, safety, and integrity …
Persistent link: https://www.econbiz.de/10012825488
This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We … and observed stock prices, we argue the results are evidence of informed trading in the derivatives market …
Persistent link: https://www.econbiz.de/10013116041
We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: that in the … expiration, whereas sophisticated investors did the reverse. Regulators did not properly forecast trading frenzies, as the pre …
Persistent link: https://www.econbiz.de/10012852960
This research adapts the Black-Scholes option pricing model that is widely used in practice to a world where investors only form sufficiently rational expectations (expectations that deviate from perfection without creating arbitrage opportunities). Within the no-arbitrage interval of market...
Persistent link: https://www.econbiz.de/10013249481
Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as redundant relative to the replicating portfolio. In practice, while dynamic replication proves highly effective in drastically reducing the risk in derivative investments, the...
Persistent link: https://www.econbiz.de/10013244989
and maximally allowed Sharpe ratios; it is related to trading activity and measures of risk in financial markets, as well …
Persistent link: https://www.econbiz.de/10012134438
We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices...
Persistent link: https://www.econbiz.de/10013242744
Persistent link: https://www.econbiz.de/10013272799
The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose...
Persistent link: https://www.econbiz.de/10012421474