Showing 1 - 10 of 12
This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) prices often go down (up) even as the underlying price goes up, and call and put prices often increase, or...
Persistent link: https://www.econbiz.de/10005743986
This article offers a tractable monetary asset pricing model. In monetary economies, the price level, inflation, asset prices, and the real and nominal interest rates have to be determined simultaneously and in relation to each other. This link allows us to relate in closed form each of the...
Persistent link: https://www.econbiz.de/10005577920
We develop a measurement theory of market integration, based on two notions of "integrated markets. " First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case, the law...
Persistent link: https://www.econbiz.de/10005578007
Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive...
Persistent link: https://www.econbiz.de/10005743882
While recent studies document increasing idiosyncratic volatility over the past four decades, an explanation for this trend remains elusive. We establish a theoretical link between growth options available to managers and the idiosyncratic risk of equity. Empirically both the level and variance...
Persistent link: https://www.econbiz.de/10005564073
This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news...
Persistent link: https://www.econbiz.de/10010534963
Compared to mutual funds, hedge funds prefer smaller, opaque value securities, and have higher turnover and more active share bets. Decomposing returns into three components, we find that hedge funds are better than mutual funds at stock picking by only 1.32% per year on a value-weighted basis,...
Persistent link: https://www.econbiz.de/10004995152
This article examines whether country-specific or global versions of Fama and French's three-factor model better explain time-series variation in international stock returns. Regressions for portfolios and individual stocks indicate that domestic factor models explain much more time-series...
Persistent link: https://www.econbiz.de/10005035205
Institutions often have access to corporate inside information through their connections, but relatively little is known about the extent to which they exploit their informational advantage through short-term trading. We employ broker-level trading data to systematically examine possible cases...
Persistent link: https://www.econbiz.de/10010566661
Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually,...
Persistent link: https://www.econbiz.de/10008680547