Narrow search
Showing 1 - 10 of 13,923
Cover Image
Investor Sentiment and Price Discovery : Evidence from the Pricing Dynamics between the Futures and Spot Markets
Chou, Robin K. - 2020
discovery. Our findings provide support for the theory of limits to arbitrage …
Persistent link: https://www.econbiz.de/10012856572
Cover Image
Can margin traders predict future stock returns in Japan?
Hirose, Takehide; Katō, Hideaki; Bremer, Marc - In: Pacific-Basin finance journal 17 (2009) 1, pp. 41-57
Persistent link: https://www.econbiz.de/10003800545
Cover Image
Limits of Arbitrage and Primary Risk Taking in Derivative Securities
Tian, Meng; Wu, Liuren - 2021
Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … reducing the risk in derivative investments, the remaining risk can still be large and significant due to practical limits of … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …
Persistent link: https://www.econbiz.de/10013244989
Cover Image
The Information Content of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads
Angelopoulos, Georgios - 2020
Cross-market deviations in equity put option prices and credit default swap spreads are temporal and revert to their usual level shortly after they occur, on average within about one week. The process of reversion involves predictable and economically significant changes also in the equity...
Persistent link: https://www.econbiz.de/10012857332
Cover Image
Volmageddon and the failure of short volatility products
Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic - 2021
The rapid growth of exchange traded products (ETPs) has raised concerns about their implications for financial stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we describe this “Volmageddon” event and illustrate the...
Persistent link: https://www.econbiz.de/10012585893
Cover Image
Derivatives WMD, Liability Driven Investment Strategies LDI, the UK Gilt Market Crisis and Pension Fund Collapse Risk
Macey-Dare, Rupert - 2022
” transactions, where the value of the bonds that pension funds owned and could lend out in bond sale and repurchase derivative …
Persistent link: https://www.econbiz.de/10014238873
Cover Image
Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - 2011 - This version: April 2011
We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...
Persistent link: https://www.econbiz.de/10009705494
Cover Image
Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2012
We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...
Persistent link: https://www.econbiz.de/10013114231
Cover Image
Limits to Arbitrage : The Case of Single Stock Futures and Spot Prices
Aggarwal, Nidhi - 2015
Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but these frictions affect different stocks differently. Using intraday data on a liquid single stock futures and spot market, we examine the effect of these frictions on arbitrage...
Persistent link: https://www.econbiz.de/10013025425
Cover Image
The Role of Financial Investors in Determining the Commodity Futures Risk Premium
Isleimeyyeh, Mohammad - 2020
I develop and test a model to study the interaction between the commodity and stock markets. This study attempts to clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is determined by hedging pressure, stock market returns, and...
Persistent link: https://www.econbiz.de/10012851801