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Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10001428847

Portfolios, information and geometry : simplex orbis non sufficit

Briys, Eric; Magdalou, Brice; Nock, Richard - In: After the crisis : rethinking finance, (pp. 225-244). 2010

Persistent link: https://www.econbiz.de/10009509009

Information Risk and Momentum Anomalies

Hwang, Chuan-Yang - 2011

In this paper, we construct an information asymmetry factor (ECINF) based on the price discovery of large trades. ECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets, which is consistent with the view...

Persistent link: https://www.econbiz.de/10013132841

Asymmetric price adjustment in the small

Chen, Haipeng; Levy, Daniel C.; Ray, Sourav; Bergen, Mark - In: Journal of monetary economics 55 (2008) 4, pp. 728-737

Persistent link: https://www.econbiz.de/10003764360

Asymmetric price adjustment in the small

Levy, Daniel C.; Chen, Haipeng; Ray, Sourav; Bergen, Mark - 2007

Analyzing a large weekly retail transaction price dataset, we uncover a surprising regularity small price increases occur more frequently than small price decreases for price changes of up to about 10 cents, while there is no such asymmetry for larger price changes. The asymmetry holds for the...