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Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter?

Ante, Lennart; Meyer, André - In: Decisions in Economics and Finance 44 (2021) 2, pp. 957-980

Initial coin offerings (ICOs) represent a novel funding mechanism where digital tokens are issued on the blockchain and sold to investors. One major reason for the success of this financing model is the fact that the issued tokens can immediately be traded on secondary markets. This event study...

Persistent link: https://www.econbiz.de/10014497513

Credit-Implied Forward Volatility and Volatility Expectations

Byström, Hans - 2015

We show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility...

Persistent link: https://www.econbiz.de/10013208742

The Effects of the Covid-19 Pandemic on Stock Markets, CDS and Economic Activity: Time-Varying Evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the …, whilst the CDS ones are positive and significant only in a few periods, and there are very mixed results for those of stock … activity in all countries in the early stages of the pandemic (especially in Italy), and a positive one on CDS at the same time …

Persistent link: https://www.econbiz.de/10012658022

Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of Derivatives Research 25 (2022) 3, pp. 315-339

We show that the VIX Index structurally underestimates model-free implied volatility because its implementation omits extrapolation of the volatility smile in the tails. We use the asymptotic behavior of the volatility surface to construct a correction term that is model-independent and only...

Persistent link: https://www.econbiz.de/10015192461

Climate capitalists

Gormsen, Niels; Huber, Kilian; Oh, Sangmin - 2024

Firms' perceived cost of green capital has decreased since the rise of sustainable investing. Green and brown firms perceived their cost of capital to be the same before 2016, but after the post-2016 surge in sustainable investing, green firms perceived their cost of capital to be on average 1...

Persistent link: https://www.econbiz.de/10015199550

The rise in the cross sectoral dispersion of earnings expectations during COVID-19

Bats, Joost; Greif, William; Kapp, Daniel - 2022

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....

Persistent link: https://www.econbiz.de/10013367994

Bitcoin flash crash on May 19, 2021: What did really happen on Binance?

Baumgartner, Tim; Güttler, André - 2022

Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that...

Persistent link: https://www.econbiz.de/10013446638

The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2021

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...

Persistent link: https://www.econbiz.de/10013467139

Monetary policy, inflation outlook, and recession probabilities

Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022

Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...

Persistent link: https://www.econbiz.de/10013479457

The Capital Asset Pricing Model: A New Empirical Investigation

Zarifhonarvar, Ali - 2023

In financial economics, numerous theoretical models explain the relationship between investment risk and return in the capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this area, this study discusses the theoretical background...

Persistent link: https://www.econbiz.de/10013499610