Se intenta en esta investigación generar estrategias de inversión cuantitativas basadas principalmente en el análisis fundamental desarrollado por Graham y Dodd (1934). Mientras existe cierto consenso que dichas estrategias pueden generar retornos satisfactorios, existe dificultad en explicar...

The heterogeneity of expectations among traders introduces an important non-linearity into the financial markets. In a series of papers, Brock and Hommes, propose to model economic and financial markets as adaptive belief systems. Asset price fluctuations in adaptive belief systems are...

This paper develops an equilibrium model in which informational asymmetries about the qualities of products offered for sale are resolved through a mechanism which combines the signalling and costly screening approachs. The model is developed in the context of a capital market setting in which...

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow for multiple trade sizes for traders to choose from in a multi-period...

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our...

In the framework of the Hull-White model we present a semi-explicit approach to compute the delta and the gamma. The method is faster and more accurate than classical approaches, specially when compared to the Hull-White tree implementation.

In this paper, we relate the returns in the thirty securities in the Dow Jones index to regime shifts in stock market volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities' returns in different volatility regimes. We test...

This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three models of hedging: (i) a firm that chooses its hedging policy in the presence of bankruptcy costs; (ii) an all equity firm that faces a convex tax schedule; and (iii) a firm whose...

The literature on household asset accumulation draws a sharp distinction between "short-run" precautionary motives to buffer consumption from annual income shocks, and "long-run" life cycle considerations under income certainty. However, estimates of shock persistence imply considerable career...

In the companion paper on empirical regularities of India's IPO market, we found a high degree of underpricing. IPO underpricing is not healthy -- it involves penalising unlisted companies with a high cost of capital; this is unlikely to be a criterion along which the efficiency of resource...