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Impact of transaction taxes on commodity derivatives trading in India

Ray, Saon; Malik, Neha - 2014

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...

Persistent link: https://www.econbiz.de/10011807678

Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011708985

Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

price volatility in agricultural markets to rise. Rather, fundamental factors are made responsible for this. Therefore, most …

Persistent link: https://www.econbiz.de/10011733840

Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

volatility in agricultural markets to rise. Rather, fundamental factors are responsible for this. Therefore, most papers are not …

Persistent link: https://www.econbiz.de/10011733841

Does financial speculation with agricultural commodities cause hunger? A reply to our critics

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2013

As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).

Persistent link: https://www.econbiz.de/10011733867

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...

Persistent link: https://www.econbiz.de/10011605102

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Persistent link: https://www.econbiz.de/10011604905

Modifications on book-valued ratios

Georgiou, Catherine - In: International Journal of Business and Economic Sciences … 15 (2023) 3, pp. 24-37

Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

Persistent link: https://www.econbiz.de/10014434600

Which beta is best? On the information content of option-implied betas

Baule, Rainer; Korn, Olaf; Saßning, Sven - 2013

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...

Persistent link: https://www.econbiz.de/10010328874

Wind-down of bank trading books: Operational aspects and hidden costs

Santoni, Alessandro; Rossignol, Ghislain; Akhouen, Richard - 2023

The writing of this article predates by several months the failure of Silicon Valley Bank and the takeover of Credit Suisse which occurred in March 2023. It does not represent the views of the European Central Bank (ECB) and should not be construed as linked to or an advice for the winding down...

Persistent link: https://www.econbiz.de/10014374601