Showing 41 - 50 of 83
We systematically study the value of the information contained in closed-end fund (CEF) premiums. We parametrically estimate CEF expected returns as a function of the history of CEF premiums, in addition to the current premium, and buy the quintile of funds with the highest expected returns and...
Persistent link: https://www.econbiz.de/10012972989
For a Lévy process corrupted with microstructure noise, I derive the sampling distributions for the information-related and information-unrelated pricing error parameters and for the variance of latent true price returns (a noise-robust and consistent estimator of realized variance). The test...
Persistent link: https://www.econbiz.de/10012849500
We systematically examine how bank characteristics are related to a bank's financial contagion exposure. Examining capital requirements, we find evidence that while tier 1 capital requirements are negatively related to a bank's contagion exposure, the sum of tier 1 and tier 2 capital ratios are...
Persistent link: https://www.econbiz.de/10012869681
This paper examines an alternative avenue through which trading in options can expand investors' opportunity sets, unrelated to private information, differing opinions, endowments, or trading restrictions in the stock market. Investors can synthetically replicate the return profile of optionable...
Persistent link: https://www.econbiz.de/10012869856
I examine the effect that the precision of securitization has on the marketquality of the underlying asset, as well as focus on the market quality of thederivative asset. With securitization, the underlying portfolio has improved liquidity, the trading intensity of an informed trader is...
Persistent link: https://www.econbiz.de/10012854152
I examine the optimal portfolio allocation for investors with risk frequency preferences. As an implication, the portfolio opportunity set can be uniquely constructed from a set of basis frequency structures. Factor model representations represent restrictions on the frequency structure space,...
Persistent link: https://www.econbiz.de/10012855358
I identify intraday jumps and cojumps in exchange rates controlling for volatility patterns and relate these events to pre-scheduled macroeconomic news and market conditions. Event study results show that preceding jump and cojump events, exchange rate quote volume, illiquidity, signed order...
Persistent link: https://www.econbiz.de/10012937935
Exchange traded funds (ETF) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to NAV as well as the life-cycle pattern in premiums. ETFs with larger...
Persistent link: https://www.econbiz.de/10012938037
Persistent link: https://www.econbiz.de/10015393913
Jumps and cojumps are examined in the covariance matrices of high-frequency financial markets. We propose a new method for identifying intraday volatility jumps in the diffusive covariance matrix of asset pairs. Our method avoids model misspecification errors, is able to identify multiple...
Persistent link: https://www.econbiz.de/10013306579