This paper applies the Hotelling Valuation Principle developed by Miller and Upton to the six super majors, multinational oil companies and extends their model by adding an explanatory variable as in world oil and gas inventory. The results do not support the Hotelling Valuation Principle and in...

The adhesion to the European Union represented a turning point for the Romanian capital market. Before the adhesion Bucharest Stock Exchange experienced a relatively quiet period which lasted for many years. Instead, after Romania had became member of the European Union the capital market...

CO2 emission allowances are traded nowadays OTC and on exchanges across Europe. It thus becomes increasingly important for traders of these emission certificates to have a valid CO2 spot price model to value potential derivatives. In addition, CO2 emitting companies require an adequate CO2 spot...

This paper reviews and analyzes how the practice of investment management has been affected by advances in finance theory, market innovations, and technological progress. The first section presents an overview of the development of capital markets and financial institutions since 1950, and the...

We study the dynamic relation between aggregate mutual fund flow and market-wide volatility. Using daily flow data and a VAR approach, we find that market volatility is negatively related to concurrent and lagged flow. A structural VAR impulse response analysis suggests that shock in flow has a...

Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price basket options when assets follow a shifted log-normal process with jumps capable of accommodating negative skewness....

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....

In this paper we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the...

Fractal Analysis assesses the fractal characteristics of data. It consists of several methods to assign a fractal dimension and other fractal characteristics in a data set which may be a theoretical data set or a pattern of signals extracted from phenomena including natural geometric objects,...

Although in developed countries the futures markets have been in existence since mid-nineteenth century, they are relatively new in the developing countries. In the late twentieth and early twenty first century, many new futures exchanges were established in developing countries and in the...