Dutch Abstract: Marktwaarde gewogen indexen mogen zich al jaren in grote belangstelling verheugen. Doordat actief beheerde aandelenmandaten regelmatig teleurstelden, gaven steeds meer professionele en particuliere beleggers de voorkeur aan goedkope beleggingsproducten die de traditionele,...

In this paper we implement the method of Feynman path integral for the analysis of option pricing for certain L'evy process driven financial markets. For such markets, we find closed form solutions of transition probability density functions of option pricing in terms of various special...

The traditional active vs passive debate has been shaken up by the emergence of “smart beta” strategies. As the population of these products has exploded, the quest to differentiate among them has focused on portfolio construction techniques rather than what actually matters, namely...

We show that analyst coverage proxies contain information about expected returns. We decompose analyst coverage into abnormal and expected components using a simple characteristic-based model and show that firms with abnormally high analyst coverage subsequently outperform firms with abnormally...

We find that the negative average-return differential between high- and low-volatility stocks -- the so-called "volatility puzzle" -- is particularly more pronounced when both groups of stocks have large trading volume. Conversely, the return differential is completely absent among low-turnover...

This paper speculates about the meaningful integration of gender into a post-Keynesian macroeconomic theory of economic crises. It links main themes in feminist and other works with key elements of a post-Keynesian theory of crisis and highlights an important methodological challenge. If...

This paper quantifies the impact on the cost of funding in repo markets of the initial margins applied by central clearing counterparties (CCPs). We have used contract-level data for the general collateral (GC) segment of Italy's MTS Repo market between January 2011 and April 2014. The analysis...

The 2008 financial crisis has spurred investors to wonder about adding tail risk hedges to their portfolios. However, the cost of these hedges can often be a deterrent. As a consequence, many financial institutions have tried to develop cost-effective products for investors who wished to protect...

In this study, we examine whether firms that act more socially responsible receive more favorable media coverage, and we consider whether firms use CSR to actively manage their media image. We focus on all news stories about a firm, not just those that report on specific CSR initiatives, and...

Fast trading and fragmentation of volume make equity markets complex, leading retail and institutional investors to demand sophisticated brokerage services. In a sample of stock transactions in Swedish large-cap firms, we find that brokers who show high trading sophistication when trading their...