We study the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate the value of the auctions using an event study. Following...

It is shown that the 8 weeks cycle and self-organized criticality at stock markets may have a biological origin related to a 4 weeks hormonal cycle. Threshold triggering mechanism of decision making is responsible for the period doubling (8 weeks instead of 4 weeks) and for the self-organized...

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most...

With the ever-changing financial architecture prevalent in the economy and opening up of new vistas of financial engineering highlighting the financial inclusion and education schemes coupled with introduction of new financial instruments, India has been able to widen the net of investments...

Asset pricing crucially depends on an averaging time interval Δ of the market trade time-series. The choice of Δ changes the basic pricing equation and determines Taylor series of investor’s utility functions over current and future values of consumption. We present current and future values...

In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news‐driven, analytic, agent‐based market model developed in Gusev et al....

A long discussion in literature exist to answer the question how a fund manager can generate extra returns? In order to answer the question this study is concerned with two aspects of this problem. First it discusses the portfolio construction process from separation theorem to modern style...

How do central bank purchases of illiquid assets affect interest rates and the real economy? In order to answer this question, I construct a parsimonious and very flexible general equilibrium model of asset liquidity. In the model, households are heterogeneous in their asset portfolios and...

This paper examines the validity of statistical significance reported in the seminal studies of the weather effect on stock return. It is found that their research design is statistically flawed and seriously biased against the null hypothesis of no effect. This, coupled with the test statistics...

KVA represents the extra cost being charged by banks to clients in order to remunerate banks’ shareholders for the mandatory regulatory capital provided by them throughout the life of the deal. Therefore, KVA represents earnings charged to clients that must be retained in the bank’s balance...