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This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...
Persistent link: https://www.econbiz.de/10015213734
We introduce a canonical representation of call options, and propose a solution to two open problems in option pricing theory. The first problem was posed by (Kassouf, 1969, pg. 694) seeking “theoretical substantiation” for his robust option pricing power law which eschewed assumptions about...
Persistent link: https://www.econbiz.de/10015222071
People tend to think by analogies. We investigate whether thinking-by-analogy matters for investors’ willingness to pay for a risky asset in a laboratory experiment. We find that thinking-by-analogy has a strong influence when the assets in question have similar (but not identical) payoffs....
Persistent link: https://www.econbiz.de/10015222359
-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F …
Persistent link: https://www.econbiz.de/10015260519
Modern investment theory takes it for granted that a Security Market Line (SML) is as certain as its "corresponding … evidence and graphically traces the financial market consequences of this model uncertainty for modern investment theory. First …, any investment knowledge about the securities risk remains uncertain. Investment valuations carry with them …
Persistent link: https://www.econbiz.de/10015261375
According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual...
Persistent link: https://www.econbiz.de/10015236663
In asset and derivative pricing, funding costs and capital costs are usually considered separately. A derivative will be funded at a given rate such as OIS, LIBOR or the bank’s cost of borrowing, and a cost of capital will be added separately. This paper presents a model that combines the two,...
Persistent link: https://www.econbiz.de/10015237181
There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook...
Persistent link: https://www.econbiz.de/10015237994
influence of uncertainty. In addition, we propose that an investment opportunity may be postponed inappropriately, as under … uncertainty the exercise of investment may be delayed by the project manager. To our knowledge, any similar quantitative methods …
Persistent link: https://www.econbiz.de/10015240265
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...
Persistent link: https://www.econbiz.de/10015241210