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Volatility Depends on Market Trades and Macro Theory

Olkhov, Victor - 2024

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

Persistent link: https://www.econbiz.de/10015213603

Banking Stability in the ESG Framework Across Italian Regions

Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024

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

Evaluating Stock Selection in the SaaS Industry: The Effectiveness of the Rule of 40

Lee, King Fuei - 2024

The Rule of 40 is a popular financial guideline used by software-as-a-service (SaaS) industry participants to assess the operational health of the companies. This paper investigates the effectiveness of the Rule of 40 as a stock selection criterion. Our study analyses a sample of 1771 SaaS...

Persistent link: https://www.econbiz.de/10015213796

Three Remarks On Asset Pricing

Olkhov, Victor - 2021

We consider the consumption-based asset-pricing model, derive a modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor’s utility during the averaging time interval. For linear and quadratic Taylor approximations, we derive...

Persistent link: https://www.econbiz.de/10015213835

The Resolution of Economic Conflicts: Beyond the Economic System

Obregon, Carlos - 2022

required. Both have been wrong. Modern economic theory in information economics, game theory and institutional economics has …

Persistent link: https://www.econbiz.de/10015214333

Expressions of market-based correlations between prices and returns of two assets

Olkhov, Victor - 2014

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and volumes of their market trades. The usual...

Persistent link: https://www.econbiz.de/10015214639

Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM

Md Isa, Abu Hassan; Puah, Chin-Hong; Yong, Ying-Kiu - 2008

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …

Persistent link: https://www.econbiz.de/10015214916

Information Exchange and the Limits of Arbitrage

Gray, Wesley - 2008

Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...

Persistent link: https://www.econbiz.de/10015215190

Local financing through capital markets

Alexandru, Ciprian Antoniade - 2007

In this paper are presented results of research conducted to identify sources of financing alternatives for local community. The study includes an analysis of the present situation on the financing of investments by local municipal bonds. The paper ends with the presentation of the benefits of...

Persistent link: https://www.econbiz.de/10015215383

Indicators for the analysis of the evolution of the stock exchange

Alexandru, Ciprian Antoniade - 2008

This paper comprises a study of the general indicators used for the overall evaluation of the performance of the stock exchange in Romania. Due to these indicators, investors can assess the volume and the dynamics of the respective market. Irrespective of whether the categories are considered...

Persistent link: https://www.econbiz.de/10015215384