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Belief heterogeneity in the option markets and the cross-section of stock returns
Borochin, Paul; Zhao, Yanhui - In: Journal of banking & finance 107 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012224402
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An option theoretic approach to market efficiency
Bhattacharya, Rajeev R. - In: Annals of financial economics 14 (2019) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10012226607
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Nominal price illusion
Birru, Justin; Wang, Baolian - In: Journal of financial economics 119 (2016) 3, pp. 578-598
Persistent link: https://www.econbiz.de/10011589946
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Option spread trades : returns on directional and volatility trades
McKeon, Ryan - In: The journal of asset management 17 (2016) 6, pp. 422-433
Persistent link: https://www.econbiz.de/10011666251
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Investors' net buying pressure and implied volatility dynamics
Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640
influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical …
Persistent link: https://www.econbiz.de/10013334805
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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...
Persistent link: https://www.econbiz.de/10010303726
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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...
Persistent link: https://www.econbiz.de/10003980635
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A model of financial bubbles and drawdowns with non-local behavioral self-referencing
Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021
We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...
Persistent link: https://www.econbiz.de/10012800780
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Socially Responsible Investing : Combining ESG Ratings with News Sentiment Generates Alpha
Hafez, Peter; Gomez, Francisco - 2021
ESG ratings as a stock screener for downside protection can be significantly improved when combined with sentiment indicators derived from news and social media. Following a statistical approach, consisting in evaluating thousands of long-only monthly-rebalanced random portfolios, we find...
Persistent link: https://www.econbiz.de/10013241318
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Comparison of multifactor asset pricing models in the South African stock market [2000-2016]
Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22
The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...
Persistent link: https://www.econbiz.de/10014301573