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High Frequency Manipulation at Futures Expiry : The Case of Cash Settled Indian Single Stock Futures
Agarwalla, Sobhesh Kumar - 2014
markets worldwide. In 2013, the Securities and Exchange Board of India identified a case of alleged manipulation (in September …
Persistent link: https://www.econbiz.de/10013058877
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective
Halperin, Igor - 2020
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...
Persistent link: https://www.econbiz.de/10012826182
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Tests of Equity Market Anomalies for Select Emerging Markets
Sehgal, Sanjay - 2015
The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South … in India, South Korea and Brazil, value anomaly in South Korea and South Africa, momentum in India and South Africa, mild …, accruals anomaly in South Africa and stock repurchases anomaly in India and South Africa. Stock issues anomaly does not pose a …
Persistent link: https://www.econbiz.de/10013034231
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Tests of Equity Market Anomalies for Select Emerging Markets
Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46
The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South … in India, South Korea and Brazil, value anomaly in South Korea and South Africa, momentum in India and South Africa, mild …, accruals anomaly in South Africa and stock repurchases anomaly in India and South Africa. Stock issues anomaly does not pose a …
Persistent link: https://www.econbiz.de/10010960338
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Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets
Sehgal, Sanjay; Jain, Sakshi; Morandiere, Pr Laurence … - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 53-78
In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South … momentum behavior, India, China and South Korea exhibit contrarian patterns for long-term prior return (24-60 months) as well … doesn’t explain abnormal returns on these trading strategies for India and South Korea. It works well for other markets …
Persistent link: https://www.econbiz.de/10011143924
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Empirical Asset Pricing with Nonlinear Risk Premia
Mijatovic, Aleksandar - 2013
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our framework guarantees existence of weak solutions of the...
Persistent link: https://www.econbiz.de/10013095532
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Empirical Asset Pricing via Machine Learning : The Global Edition
Cakici, Nusret; Zaremba, Adam - 2022
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...
Persistent link: https://www.econbiz.de/10013306087
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Commodity Futures Returns : A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures
Cifarelli, Giulio - 2010
, characterized by a stronger impact of speculation on futures return dynamics …
Persistent link: https://www.econbiz.de/10013135852
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On the lease rate, the convenience yield and speculative effects in the gold futures market
Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - 2009
By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...
Persistent link: https://www.econbiz.de/10003967104