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CDS Auction Prices and Recovery Rates – Price Difference from the Counterparty Risk

Kolev, Mihail - 2015

The dissertation examines the effect of counterparty risk on the price difference between defaulted US bond prices … the period of 2008-2015. The counterparty risk is measured by the changes before and after the auction day in the weighted … and financial sectors. The impact of the counterparty risk effects is tested through various specifications of regression …

Persistent link: https://www.econbiz.de/10013012337

Cyberfinance : Liberating the Financial Markets

Wales, Kim - 2015

A new economic revolution liberating financial markets? Seeks to answer some of the questions driving the existential crisis embroiling finance: What is currency? What is value? What is a business? What is a bank, even?This article discusses how regulatory reform, transformative technologies,...

Persistent link: https://www.econbiz.de/10013021212

Investors' Climate Sentiment and Financial Markets

Santi, Caterina - 2021

We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices...

Persistent link: https://www.econbiz.de/10013242744

The New Landscape of Financial Markets : Participants and Asset Classes

Mitra, Gautam; Baigurmanova, Dina; Jhunjhunwala, Shrey - 2022

We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...

Persistent link: https://www.econbiz.de/10013289584

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Zaremba, Adam - 2015

Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized...

Persistent link: https://www.econbiz.de/10013034279

Dynamics of Global Credit Markets

Wenzler, Josef-Stefan - 2020

Dynamics of credit markets impact almost all participants in financial markets. Yet, despite rapidly growing international credit markets, we know little about the dynamics of global credit markets, as most studies focus on the US. Here, I propose a new distance-to-default model, empirically...

Persistent link: https://www.econbiz.de/10012848955

Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real …-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …

Persistent link: https://www.econbiz.de/10014437009

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

Persistent link: https://www.econbiz.de/10013113731

Pricing of Volatility Risk in REITs

DeLisle, Jared - 2013

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing …

Persistent link: https://www.econbiz.de/10013092294