Search Results - subject:"pricing error"

Information content of implicit spot prices embedded in single stock future prices : evidence from Indian market

Pathak, Rajesh; Verousis, Thanos; Chauhan, Yogesh - In: Journal of emerging market finance 16 (2017) 2, pp. 169-187

Persistent link: https://www.econbiz.de/10011875593

IMPLIED INDEX AND OPTION PRICING ERRORS: EVIDENCE FROM THE TAIWAN OPTION MARKET

Wang, Ching-Ping; Huang, Hung-Hsi; Hung, Chien-Chia - In: The International Journal of Business and Finance Research 5 (2011) 2, pp. 115-125

error for calls but negative impact for puts. Open interest has a significantly negative impact on the index pricing error … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index … pricing error increases with index returns. The unrestricted model has significantly less option pricing bias for calls than …

Persistent link: https://www.econbiz.de/10011206165

Pricing options on forwards in energy markets : the role of mean reversion's speed

Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26

Persistent link: https://www.econbiz.de/10011686772

Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds

Gann, Philipp - Volkswirtschaftliche Fakultät, … - 2010

Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener Kapitalmarktphasen betrachtet. Die erste...

Persistent link: https://www.econbiz.de/10008544248

Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds

Gann, Philipp - 2010

Persistent link: https://www.econbiz.de/10008779786

The smallest stocks are not just smaller: global evidence

de Moor, Lieven L.; Sercu, Piet - Solvay Brussels School of Economics and Management, … - 2015

Using an international Thomson Reuters Datastream database, where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset-pricing test results. We...

Persistent link: https://www.econbiz.de/10011163399

Characteristics of pricing errors in stocks implied by autocovariance and "drag"

Moor, Lieven de; Sercu, Piet - In: Applied economics letters 22 (2015) 10/12, pp. 999-1004

Persistent link: https://www.econbiz.de/10011286529

The smallest stocks are not just smaller : global evidence

Moor, Lieven de; Sercu, Piet - In: The European journal of finance 21 (2015) 1/3, pp. 51-70

Persistent link: https://www.econbiz.de/10010519976

Investor structure and the informational efficiency of commodity futures prices

Chen, Yu-Lun; Chang, Ya-Kai - In: International review of financial analysis 42 (2015), pp. 358-367

Persistent link: https://www.econbiz.de/10011573530

An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns

Engsted, Tom; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2008

We suggest an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane (1999), and we apply the approach on annual and quarterly Danish stock and bond returns. For comparative purposes we also estimate and test the standard CRRA model. In...

Persistent link: https://www.econbiz.de/10005440066