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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices

Anene, Dominic; D'Amico, Stefania - 2017

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

Persistent link: https://www.econbiz.de/10012030329

Hedging costs and joint determinants of premiums and spreads in structured financial products

Entrop, Oliver; Fischer, Georg - 2019

This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...

Persistent link: https://www.econbiz.de/10011961047

How dynamic hedging affects stock price movements: Evidence from German option and certificate markets

Fischer, Georg - 2019

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...

Persistent link: https://www.econbiz.de/10011961048

Loss sharing in central clearinghouses: Winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023

derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants …

Persistent link: https://www.econbiz.de/10014543682

Imperfect competition in derivatives markets

Brinkmann, Christina - 2022

Since the push towards central clearing in derivatives markets after the global financial crisis, an open question has … been how the development has affected competition. This paper models imperfect competition between dealers in derivatives … markets. Two risk-neutral dealers offer derivatives to risk-averse clients with a hedging need, and compete in price (fee) and …

Persistent link: https://www.econbiz.de/10013330062

Informed options strategies before corporate events

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022

We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...

Persistent link: https://www.econbiz.de/10013339584

The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts

Augustin, Patrick; Rubtsov, Alexey; Shin, Donghwa - 2022

Cryptocurrencies provide a unique opportunity to identify how derivatives impact spot markets. They are fully fungible …

Persistent link: https://www.econbiz.de/10013339586

Bitcoin flash crash on May 19, 2021: What did really happen on Binance?

Baumgartner, Tim; Güttler, André - 2022

Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that...

Persistent link: https://www.econbiz.de/10013446638

The economics of options-implied inflation probability density functions

Kitsul, Yuriy; Wright, Jonathan H. - 2012

quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news …

Persistent link: https://www.econbiz.de/10010397781

Asset Management in Volatile Markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - 2008

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Persistent link: https://www.econbiz.de/10011689936