Purpose – The Treynor and Mazuy framework is a widely used return-based model of market timing. However, existing corrections to the regression intercept can be manipulated through derivatives trading. Because they are conceptually flawed, these corrections produce biased performance measures....

Purpose – The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007‐08 financial crisis. Design/methodology/approach – The performance of a market timer can be measured through the 1966 Treynor and Mazuy model,...

Abstract We consider a Lévy driven stochastic convolution, also called continuous time Lévy driven moving average model X(t)=\int_{0}^{t}a(t-s)\,dZ(s) , where 𝑍 is a Lévy martingale and the kernel a(\,{.}\,) a deterministic function square integrable on \mathbb{R}^{+} . Given 𝑁 i.i.d....

Summary We introduce a class of optimal stopping problems in which the gain is at least a fraction of the initial value. From a financial point of view this structure can be seen as a guarantee for the holder of an American option. It turns out that the optimal strategies are of two-sided type...

Purpose Recently, studied theoretical properties and parameter estimation of continuous time processes derived as solutions of a generalized Langevin equation (GLE). In this paper, the authors extend the model to a wider class of memory kernels and then propose a bond and bond option valuation...

Purpose – The purpose of this paper is to explore the forecasting effectiveness of Black-Scholes (BS) focussing parity analysis of time series econometric and implied volatility (IV) numerical techniques. Design/methodology/approach – To analyze the comparative competitiveness of econometric...

Purpose Retail properties are a perfect example of a property class where revenues determine the rent for the property owners. Estimating the value of new retail developments is challenging, as the initial revenues can have a significant variance from the long-term revenue levels. Owners and...

Purpose – The purpose of this paper is to construct option pricing models for real estate development by considering and incorporating institutional arrangements, direct interactions and financial constraints in the model. It extends the application of real option theory from the framework...

Purpose The purpose of this paper is to alleviate the moral hazard problem created by deposit insurance and therefore develop a deposit insurance pricing model explicitly considering systematic risk. Design/methodology/approach Using the market model, the authors introduce the systematic risk...

Purpose – The purpose of this paper is to evaluate Alberta’s cattle loan guarantee program. It measures the risk premiums on lending that would accrue to banks participating in the program, estimates the value (price) of the loan guarantee, and estimates the interest subsidy provided by the...