Showing 1 - 10 of 3,872
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which option market percentage spreads will be inversely related to...
Persistent link: https://www.econbiz.de/10005580136
We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically affects the betas of individual stocks. We find that betas...
Persistent link: https://www.econbiz.de/10005720284
We study how government policies and corporate commitments to decarbonize interact under two externalities: environmental damages and green innovation spillovers. Unconstrained carbon taxes and innovation subsidies could achieve first-best outcomes, but when government policies face constraints,...
Persistent link: https://www.econbiz.de/10015194980
We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...
Persistent link: https://www.econbiz.de/10014250115
Persistent link: https://www.econbiz.de/10011623818
Persistent link: https://www.econbiz.de/10011959790
In this paper we extend the model of Easley and O’Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for the arrival rates of informed and uninformed trades and estimate the...
Persistent link: https://www.econbiz.de/10009440739
In this paper, we define dynamic and static factors and distinguish between the dynamic and static structure of asset excess returns. We examine the value-weighted market portfolio as a dynamic factor and propose an intuitively appealing procedure to search for more dynamic factors. We find...
Persistent link: https://www.econbiz.de/10009477376
Persistent link: https://www.econbiz.de/10005527343
Persistent link: https://www.econbiz.de/10005532246