Narrow search
Showing 1 - 10 of 24,850
Cover Image
On bubbles in cryptocurrency prices
Oordt, Maarten R. C. van - 2024
This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users if they anticipate in increase in...
Persistent link: https://www.econbiz.de/10014634056
Cover Image
A New Wolf in Town? Pump-and-Dump Manipulation in Cryptocurrency Markets
Dhawan, Anirudh - 2020
We show that cryptocurrency markets are plagued by pump-and-dump manipulation, with at least 355 cases in seven months. Unlike stock market manipulators, cryptocurrency manipulators openly declare their intentions to pump specific coins, rather than trying to deceive investors. Puzzlingly,...
Persistent link: https://www.econbiz.de/10012826107
Cover Image
Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10013128856
Cover Image
Ex Ante Skewness and Expected Stock Returns
Conrad, Jennifer S. - 2012
We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities' risk-neutral returns distribution. We find that individual securities' volatility, skewness, and kurtosis are strongly related to...
Persistent link: https://www.econbiz.de/10013116546
Cover Image
The Interaction between Corporate Bonds Yields, Equity Market and the Macro Economy
Bulmash, Samuel B. - 2012
The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...
Persistent link: https://www.econbiz.de/10013100689
Cover Image
Trading Behaviour and Monetary Policy News
Smales, Lee A. - 2017
This paper examines the patterns of trading behaviour, in the period surrounding monetary policy announcements. Utilizing a high-frequency data-set, with broker identifiers enabling classification of trades executed through institutional and retail brokers, I investigate all trades submitted on...
Persistent link: https://www.econbiz.de/10012971303
Cover Image
Fundamental vs. Technical Analysis : News-based Factors and Cryptocurrency Risk Premia
Filippou, Ilias; T. Nguyen, My; Viswanath-Natraj, Ganesh - 2023
This paper investigates the cross-sectional predictive ability of text-based factors in the cryptocurrency market --an important asset class for retail and institutional investors. We employ Bidirectional Encoder Representations from Transformers (BERT) topic modeling to analyze news articles...
Persistent link: https://www.econbiz.de/10014351292
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10010295747
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10011431982
Cover Image
Risk Management of Alpha Models
Elavia, Tony - 2010
After posting good performance and impressive business growth for over two decades, quantitative equity investment managers have recently produced weak returns. We develop a measure of risk and show how changes in risk provide a common framework to explain past under-performance, as well as...
Persistent link: https://www.econbiz.de/10013139850