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1
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
including global equities, global bonds, commodities, US Treasuries, credit, and
options
. This predictability rejects a …
Persistent link: https://www.econbiz.de/10011083673
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2
The Price of Political Uncertainty: Theory and Evidence from the Option Market
Kelly, Bryan
;
Pástor, Luboš
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
.
Options
whose lives span political events tend to be more expensive. Such
options
provide valuable protection against the risk …
Persistent link: https://www.econbiz.de/10011084633
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3
Option-Based Credit Spreads
Culp, Christopher L.
;
Nozawa, Yoshio
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
empirically show that indeed portfolios of long Treasuries and short traded put
options
("pseudo bonds") closely match the …
Persistent link: https://www.econbiz.de/10011145468
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4
Performance Maximization of Actively Managed Funds
Guasoni, Paolo
;
Huberman, Gur
;
Wang, Zhenyu
-
C.E.P.R. Discussion Papers
-
2010
literature suggests that even in the absence of any ability to predict returns, holding
options
positions on the benchmark assets …. The enhancement from holding
options
can be substantial if the implied volatilities of the
options
are higher than the …
Persistent link: https://www.econbiz.de/10008468707
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5
The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
Bhamra, Harjoat Singh
;
Uppal, Raman
-
C.E.P.R. Discussion Papers
-
2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock-market returns. Our analysis uses a standard, continuous time, dynamic, general-equilibrium, full-information, frictionless, Lucas endowment economy where there are two classes of...
Persistent link: https://www.econbiz.de/10005114422
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6
Innovative Activity in Wind and Solar Technology: Empirical Evidence on Knowledge Spillovers Using Patent Data
Braun, Frauke G
;
Schmidt-Ehmcke, Jens
;
Zloczysti, Petra
-
C.E.P.R. Discussion Papers
-
2010
This paper studies technological change in renewable energies, providing empirical evidence on the determinants of innovative activity with a special emphasis on the role of knowledge spillovers. We investigate two major renewable energy technologies wind and solar across a panel of 21 OECD...
Persistent link: https://www.econbiz.de/10008468596
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7
The Toehold Puzzle
Betton, Sandra
;
Eckbo, B Espen
;
Thorburn, Karin S
-
C.E.P.R. Discussion Papers
-
2005
The substantial control premium in corporate takeovers makes a compelling case for acquiring target shares (a toehold) prior to launching a bid. Nevertheless, with a sample exceeding ten thousand initial control bids for public targets, we show that toehold bidding has declined steadily since...
Persistent link: https://www.econbiz.de/10005792041
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8
Do Oil Price Increases Cause Higher Food Prices?
Baumeister, Christiane
;
Kilian, Lutz
-
C.E.P.R. Discussion Papers
-
2013
U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers...
Persistent link: https://www.econbiz.de/10011084483
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9
New Techniques to Extract Market Expectations from Financial Instruments
Söderlind, Paul
;
Svensson, Lars E O
-
C.E.P.R. Discussion Papers
-
1997
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...
Persistent link: https://www.econbiz.de/10005504605
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10
The Informativeness Principle Under Limited Liability
Chaigneau, Pierre
;
Edmans, Alex
;
Gottlieb, Daniel
-
C.E.P.R. Discussion Papers
-
2014
This paper shows that the informativeness principle does not automatically extend to settings with limited liability. Even if a signal is informative about effort, it may have no value for contracting. An agent with limited liability is paid zero for certain output realizations. Thus, even if...
Persistent link: https://www.econbiz.de/10011083536
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