Showing 1 - 10 of 22
A real option on a commodity is valued using an implied binomial tree (IBT) calibrated using commodity futures options prices. Estimating an IBT in the absence of spot options (the norm for commodities) allows real option models to be calibrated for the first time to market‐implied probability...
Persistent link: https://www.econbiz.de/10011198315
An increase in the cost of selling short should increase the bearish information content of short interest announcements by driving relatively uninformed short sellers out of the market. We extend the Diamond and Verrecchia (1987) model to include short selling against the box and test the...
Persistent link: https://www.econbiz.de/10005728291
A computational model of a limit order book is used to study the effect of different limit order distribution offsets. Reference prices such as same side/contra side best market prices and last traded price are considered in combination with different price offset distributions. We show that...
Persistent link: https://www.econbiz.de/10010742317
We appear to be the first to present correctly calculated results for the profitability of emerging currency momentum strategies using a long time series and a good cross-sectional sample. Using a 1985–2009 sample period and six emerging currencies, we find that long-short momentum strategies...
Persistent link: https://www.econbiz.de/10010576382
Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This 'compass rose' pattern appears in every stock. It is caused by discreteness. However,...
Persistent link: https://www.econbiz.de/10005214533
Although dependence in financial data is pervasive, standard doctoral-level econometrics texts do not make clear that the common central limit theorems (CLTs) contained therein fail when applied to dependent data. More advanced books that are clear in their CLT assumptions do not contain any...
Persistent link: https://www.econbiz.de/10008562776
We test for recently reported momentum profits in New Zealand using a practitioner technique that we have not yet seen in the academic literature. This technique simultaneously weighs returns, risk and transactions costs at each portfolio rebalance, rather than blindly chasing returns and then...
Persistent link: https://www.econbiz.de/10008751695
We investigate jump memory using an extensive database of short-term S&P 500 index options. Jump memory refers to the attenuation of the implied jump intensity and magnitude parameters following a crash event. We use a genetic algorithm to obtain a time series of implied parameter estimates and...
Persistent link: https://www.econbiz.de/10005523437
Ratio analysis is generally presented as something that has to be calculated after completing other financial statements and is generally viewed, particularly by students, as busy-work with little value. This paper changes the context of ratio analysis in order to demonstrate how a focus on the...
Persistent link: https://www.econbiz.de/10010762512
This paper provides a non-technical presentation of the theoretical foundations of corporate financial decision making and the net present value (NPV) rule. Our objective is to show that the concepts of value and value creation arise from a single, unified framework that is firmly rooted in...
Persistent link: https://www.econbiz.de/10010937177