Showing 1 - 10 of 849
Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between...
Persistent link: https://www.econbiz.de/10012949196
This paper studies exchange-traded funds’ (ETFs) price impact in the most ETF-dominatedasset classes: volatility (VIX) and commodities. I propose a model-independent approach to replicate the VIX futures contract. This allows me to isolate a non-fundamental component in VIX futures prices that...
Persistent link: https://www.econbiz.de/10013225078
We overview exchange-traded funds and notes mechanism and market. We consider different classes of ETFs: long, short, unleveraged, leveraged. We show tables and graphs of leveraged and short ETF behaviors for up and down moves for educational purposes. We describe historical behavior of several...
Persistent link: https://www.econbiz.de/10012928324
Volatility forecasts play a central role among equity risk measures. Besides traditional statistical models, modern forecasting techniques, based on machine learning, can readily be employed when treating volatility as a univariate, daily time-series. However, econometric studies have shown that...
Persistent link: https://www.econbiz.de/10014236547
This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...
Persistent link: https://www.econbiz.de/10012905029
This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The...
Persistent link: https://www.econbiz.de/10013067300
Do equity investors care about pay dispersion and income inequality? We address this question by examining equity markets' reaction and investors' portfolio rebalancing in response to the first-time disclosure by U.S. public companies of the ratio of CEO to median worker pay in 2018. We find...
Persistent link: https://www.econbiz.de/10012843823
The question of whether and to what extent option trading impacts underlying stock prices has been of interest since options began exchange-based trading in 1973. Recent research presents evidence of an informational channel through which option trading impacts stock prices by showing that...
Persistent link: https://www.econbiz.de/10012854979
We show that the stochastic dominance (SD) approach to the valuation of index options in frictionless markets allows the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and volatility dynamics for a wide class of stochastic volatility...
Persistent link: https://www.econbiz.de/10013309461
This paper provides a first economic analysis of liquid staking tokens, which are derivatives representing a share of staked tokens in proof-of-stake blockchains. There is substantial time-variation in the "liquid staking basis"', i.e., the price difference between a derivative staking token and...
Persistent link: https://www.econbiz.de/10013403348