The paper reviews origins of the approach to pricing derivatives post-crisis by following three papers that have received wide acceptance from practitioners as the theoretical foundations for it - [Piterbarg 2010], [Burgard and Kjaer 2010] and [Burgard and Kjaer 2013].The review reveals several...

We document economically and statistically large 24h pre-ECB announcement re- turns in European equity. For the overall market the respective annual premium (2010 – 2015) was over 6% (Sharpe ratio of 1.5). We show that the pre-ECB return is mainly driven by periods of high uncertainty during...

The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...

One of the most popular investment anecdotes relates how Isaac Newton, after cashing in some large early gains, staked his fortune on the success of the South Sea Company of 1720 and lost heavily in the ensuing crash. However, this tale is based on only a few scraps of hard evidence, some of...

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...

Using a simple model of equity valuation, we de fine stock market bubbles and anti-bubbles as periods in which the dynamics of valuation is temporarily explosive. We identify a mechanism for the creation and destruction of bubbles and anti-bubbles that depends on the interaction between...

This study of the co-movements of the transaction prices and trading volumes reveal that the mean correlation of prices, and trading volumes alike, among different housing sub-markets increases during the market boom. After a financial crisis, the correlations drop dramatically and stay low. The...

This paper aims at testing for time-variations in herd behavior in stock markets. In particular, we analyze how investors’ behavior differs between times of market turmoil and tranquil trading periods. Thereby, we take into account herding within a certain market as well as international...

This paper explores the effects of price limits on the Chinese A-share stock markets during financial crises. A Logit regression model is estimated to investigate the characteristics of stocks that hit the price limits more frequently under economic turmoil. It is found that the price limit...

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...