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Cvitanić, Jakša; Malamud, Semyon - 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Persistent link: https://www.econbiz.de/10003979998

Convertible bonds : risks and optimal strategies

Huang, Haishi - 2010

Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when the … volatility of the firm value process lies between two extreme values. -- Convertible bond ; game option ; uncertain volatility …

Persistent link: https://www.econbiz.de/10003954105

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

Dynamic option-based strategies under downside loss averse preferences

Jalal, Amine (contributor) - 2007

loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The …

Persistent link: https://www.econbiz.de/10003550865

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - 2010

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … Risk ; Intermediary ; Volatility …

Persistent link: https://www.econbiz.de/10003980637

Inference, arbitrage, and asset price volatility

Adrian, Tobias - In: Journal of financial intermediation 18 (2009) 1, pp. 49-64

Persistent link: https://www.econbiz.de/10003813178

Return and volatility reactions to monthly announcements of business cycle forecasts : an event study based on high-frequency data

Entorf, Horst; Groß, Anne; Steiner, Christian - 2009

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

Persistent link: https://www.econbiz.de/10003814068

Explaining time-varying risk of electricity forwards : trading activity and news announcements

Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

Persistent link: https://www.econbiz.de/10008989697

Structural stochastic volatility in asset pricing dynamics : estimation and model contest

Franke, Reiner; Westerhoff, Frank H. - 2011

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …

Persistent link: https://www.econbiz.de/10009007642

Network centrality and stock market volatility : the impact of communication topologies on prices

Hein, Oliver; Schwind, Michael; Spiwoks, Markus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 199-232

different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through … communication networks. Simulation results suggest a correlation between the network centralization measures and the volatility of …

Persistent link: https://www.econbiz.de/10009511655