Narrow search
Showing 1 - 10 of 6,291
Cover Image
The Pricing Policy of Banks for Exchange-Traded Leverage Certificates : Interday and Intraday Effects
Entrop, Oliver - 2013
This paper analyzes the pricing policy of banks for retail exchange-traded leverage certificates. Based on a unique trade data set, we analyze the order flow induced by the investors and compare traded prices with corresponding theoretical fair product values. Our major results are: (i) Intraday...
Persistent link: https://www.econbiz.de/10013093879
Cover Image
Equity Short Selling and Bond Rating Downgrades
Henry, Tyler R. - 2014
. Short sellers also facilitate price discovery by reducing abnormal stock returns following downgrades and by leading bond …
Persistent link: https://www.econbiz.de/10013070193
Cover Image
Information Opacity and Fitch Bond Ratings
Livingston, Miles - 2017
rating industry enhances the information efficiency of the bond market and the existence of smaller rating agencies is …
Persistent link: https://www.econbiz.de/10012963696
Cover Image
The Market Reaction to Green Bond Issuance : Evidence from China
Wang, Jiazhen - 2020
This paper provides the first evidence of the debt and stock market reaction to corporate green bond issuance in the … of the Chinese green bond pricing premium is greatly larger than that of an international green bond documented in prior … by long-term institutional investors. Further analysis reveals positive announcement stock returns for green bond new …
Persistent link: https://www.econbiz.de/10012847701
Cover Image
Martingale Representation of Bond Price
LE, Truc - 2018
approach to formulating the theoretical price of a zero-coupon bond without the hassle of a change of probability measure - the …
Persistent link: https://www.econbiz.de/10012916868
Cover Image
Chapter 11 Intertemporal asset pricing theory
Duffie, Darrell - 2003
This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...
Persistent link: https://www.econbiz.de/10014023860
Cover Image
An Empirical Analysis of Pricing in the Japanese Bond Markets
Takahashi, Toyoharu - 2011
being captured through the trading of bond asset swap packages. Based on these ideas, we provide an introduction to … government and corporate bond asset swaps, explaining their basic mechanics, the use of asset swap spreads in identifying and …
Persistent link: https://www.econbiz.de/10013121298
Cover Image
Climate-linked bonds
Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025
Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...
Persistent link: https://www.econbiz.de/10015181854
Cover Image
Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
Trading and investment strategies play an essential part in better understanding fixed income markets. Over-the-counter markets and thousands of different outstanding bonds increase the difficulties to identify adequate comparison methods. Market participants and their practices differ widely...
Persistent link: https://www.econbiz.de/10009622377
Cover Image
Systemic default and return predictability in the stock and bond markets
Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016
realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …
Persistent link: https://www.econbiz.de/10011810905