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Pre-IPO Cash Flow Volatility and Aftermarket Valuation

Cox, Justin - 2017

traded firm. From the perspective of corporate risk management theory, higher cash flow volatility should reduce value in the …

Persistent link: https://www.econbiz.de/10012960447

What Does the Financial Market Pricing Do? A Simulation Analysis with a View to Systemic Volatility, Exuberance and Vagary

Biondi, Yuri - 2015

Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well...

Persistent link: https://www.econbiz.de/10013034712

The Opposing Effects of Information Complexity and Information Content on Return Volatility

Belo, Frederico - 2018

We evaluate the impact of complexity and content of new information on stock return volatility dynamics around 10-K fillings. On average, return volatility increases by 0.4% in the first four weeks after the release of the report, followed by a 2.6% decrease in the subsequent six weeks. This...

Persistent link: https://www.econbiz.de/10012937620

Word-of-Mouth Communication, Noise-Driven Volatility, and Public Disclosure

Xue, Hao - 2020

This paper examines how a firm adjusts its disclosure quality in response to technological innovations that improve investors' private information. We show that more precise private information can endogenously amplify supply shocks and, hence, increase noise-driven (or non-fundamental) price...

Persistent link: https://www.econbiz.de/10012850694

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - 2008

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …

Persistent link: https://www.econbiz.de/10003831222

Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity

Albuquerque, Rui A. - 2011

This paper analyzes the asset pricing implications of periodic cash payouts within the context of a stationary rational expectations model with heterogeneous investors. The periodicity of cash payouts provides a natural motivation for time-varying conditional volatility in stock returns. I show...

Persistent link: https://www.econbiz.de/10013134160

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

Trading Breaks and Asymmetric Information : The Option Markets

Kaplanski, Guy - 2018

We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an...

Persistent link: https://www.econbiz.de/10012940238

Optimal Liquidation of Electricity Futures Portfolios : An Anticipative Market Impact Model

Hess, Markus - 2017

Many electricity markets exhibit an oligopolistic structure with market participants whose individual trading activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity futures portfolio over a fixed time horizon under the...

Persistent link: https://www.econbiz.de/10012974469

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

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