Margin requirements are designed to control the default risk inherent to commitments undertaken by traders writing options. Much like similar institutions, the Tel Aviv Stock Exchange first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...

Margin requirements are designed to control the default risk inherent to commitments undertaken by option traders. Much like similar institutions, the Tel Aviv Stock Exchange (TASE) first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...

Roll [JFE 1977] demonstrates that the probability of early exercise of equity call options is low for small dividend payouts. Geske and Shastri [JBF 1985] show that unless dividends are small, put equity options would not be exercised early. Subsequently, Shastri and Tandon [JFM 1986] argue that...

The literature on the role of duration and convexity in managing the interest rate risk of fixed-income contracts is concerned primarily with single-currency domestic applications. The dominant view appears to be that fixed-income risk management in the international setting involves a mere...

Stock markets in emerging economies are often surrounded by a fast-pace real and monetary growth. The high returns typical of those markets continue to attract foreign investors who are looking to enhance the performance of their portfolios. A number of studies demonstrate the advantage of...

Lacking examples of IPO mechanisms that are open to the public and priced competitively, previous studies could not determine what size discount, if any, is efficient. We test and reject the hypothesis that underpricing is efficient or consistent with competition by comparing two consecutive...

Recent years have witnessed the proliferation of multiple-listed stocks traded in markets around the world. Any explanation for this phenomenon must address the question of efficiency with which pricing information flows among national markets. By the same token, the phenomenon of multiple...

Margin requirements are designed to control the default risk inherent to commitments undertaken by traders writing options. Much like similar institutions, the Tel Aviv Stock Exchange first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...