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Information Shocks, Disagreement, and Drift

Armstrong, Will J. - 2019

We examine the effects of investor disagreement on price discovery using a recurring public information event in the … condition trades on information beyond the news …

Persistent link: https://www.econbiz.de/10012895168

Options trading and stock price informativeness

Cao, Jie Jay; Goyal, Amit; Ke, Sai; Zhan, Xintong - 2019

We find that single-name options trading increases the absolute level of information content of prices (stock price … volume. Our findings are through the channels of investors' acquiring more information and through managers' information … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …

Persistent link: https://www.econbiz.de/10012179434

Information Inertia

Illeditsch, Philipp K. - 2020

We show that aversion to risk and ambiguity leads to information inertia when investors process public news about … disappears when investors are risk neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e …

Persistent link: https://www.econbiz.de/10012857251

Persuading customers to buy early : the value of personalized information provisioning

Drakopoulos, Kimon; Jain, Shobhit; Randhawa, Ramandeep - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 828-853

Persistent link: https://www.econbiz.de/10012505294

Blockbuster Antivirals and Vaccines : Real Options in a Flu Pandemic

Koh, Wilson - 2014

Avian flu has been the focus of significant attention since 2004, when there were reports of human infections in Asia from the avian flu H5N1 strain. To prevent the catastrophic mortality of mankind, several governments are stockpiling antivirals and pharmaceutical firms are increasing their...

Persistent link: https://www.econbiz.de/10014206383

Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Hara, Chiaki; Huang, James; Kuzmics, Christoph - 2006

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must...

Persistent link: https://www.econbiz.de/10014058197

The Evolution of Valuation in Bankruptcy

Simkovic, Michael - 2017

flow (DCF) and recently to market-based approaches such as auctions, market pricing of equity and unsecured debt, and …

Persistent link: https://www.econbiz.de/10012968788

Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences

Kenyon, Chris - 2015

Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore...

Persistent link: https://www.econbiz.de/10013033223

Efficient XVA Management : Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning

Kenyon, Chris - 2014

Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known … focus on pricing, hedging, and allocation of prices or hedging costs to desks on an individual trade basis. We show how to … XVA management is sufficiently general that we can cover pricing, first- and second-order sensitivities, and exact trade …

Persistent link: https://www.econbiz.de/10013040052

XVA at the Exercise Boundary

Green, Andrew David - 2016

XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and secured/cleared trades where KVA and MVA play a material role even if CVA and FVA do not. However, this effect has...

Persistent link: https://www.econbiz.de/10012986203