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The introduction of the accounting standards SFAS 123R and IFRS 2 forexecutive stock options has led to an important change. As companies arenow forced to value their stock options at grant date for accounting purposes,the robustness of prices against the choice of certain valuation models...
Persistent link: https://www.econbiz.de/10008911535
Persistent link: https://www.econbiz.de/10009629119
This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...
Persistent link: https://www.econbiz.de/10008911533
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10010302535
We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern translates into significant excess returns of option trading...
Persistent link: https://www.econbiz.de/10011539576
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10008684970
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10003919393
Persistent link: https://www.econbiz.de/10009615810
Persistent link: https://www.econbiz.de/10003611417
We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern translates into significant excess returns of option trading...
Persistent link: https://www.econbiz.de/10011539242