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Information, Trade, and Derivative Securities

Brennan, Michael J. - 1997

Hellwig's (1980) model is used to analyze the value of improving trading opportunities by more frequent trading in the underlying asset, or by trading in a derivative asset. With multiple trading sessions, uninformed investors behave as rational trend followers, while more informed investors...

Persistent link: https://www.econbiz.de/10012792176

Sidelined Investors, Trading-Generated News, and Security Returns

Henry Cao, H.; Coval, Joshua D.; Hirshleifer, David - In: The review of financial studies 15 (2002) 2, pp. 615-648

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Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

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Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

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Corporate finance and governance in emerging markets : a selective review and an agenda for future research

Fan, Joseph P. H.; Wei, K. C. John; Xu, Xinzhong - In: The journal of corporate finance : contracting, … 17 (2011) 2, pp. 207-214

Persistent link: https://www.econbiz.de/10008901842

Political connections, financing friction, and corporate investment : evidence from Chinese listed family firms

Xu, Nianhang; Xu, Xinzhong; Yuan, Qingbo - In: European financial management : the journal of the … 19 (2013) 4, pp. 675-702

Persistent link: https://www.econbiz.de/10010237362

Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models

Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 28 (2004) 10, pp. 2541-2563

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The incremental volatility information in one million foreign exchange quotations

Taylor, Stephen - In: Journal of empirical finance 4 (1997) 4, pp. 317-340

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The term structure of volatility implied by foreign exchange options

Xu, Xinzhong - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 57-74

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Conditional volatility and the informational efficiency of the PHLX currency options market

Xu, Xinzhong - In: Journal of banking & finance 19 (1995) 5, pp. 803-821

Persistent link: https://www.econbiz.de/10001185510

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