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Option Pricing with a General Market Point Process

Prigent, J.L. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1997

This paper examines the impact of a random number of stock prices changes on the valuation formula for options. The …

Persistent link: https://www.econbiz.de/10005660703

The Economics of Financial Derivative Instruments

NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008

The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...

Persistent link: https://www.econbiz.de/10005621718

Capital structure and dividend policy in a personal tax free environment: the case of Oman

Al Yahyaee, Khamis, Banking & Finance, Australian … - 2006

investigatethis issue using a unique data set where there are no taxes on dividends and capital gainsand stock prices are decimalized …. In this economy, any price decline that is smaller thanthe dividends can not be attributed to taxes and price … discreteness. We find that thestock price drops by less than the amount of dividends and there is a significant positiveex …

Persistent link: https://www.econbiz.de/10009484263

Examination of the long-run market reaction to the announcement of dividend omissions and reductions (An)

Liu, Yi - 2003

This study investigates the long-run stock performance following dividend omissions and reductions, and looks for answers for three questions: 1) Does the market underreact to announcement of dividend omissions and reductions? 2) if the market does, how long does it take for the market to...

Persistent link: https://www.econbiz.de/10009451046

The Share Price Effects of Dividend Taxes and Tax Imputation Credits.

Harris, T.S.; Glenn Hubbard, R.; Kemsley, D. - Graduate School of Business, Columbia University - 2000

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors= implicit … valuations of retained earnings versus paid-in equity. Retained earnings are distributable as taxable dividends, whereas paid …

Persistent link: https://www.econbiz.de/10005776739

Stock Values and Fundamentals: Link or Irrationality?.

Fornari, F.; Pericoli, M. - Banca d'Italia - 2000

In this paper, econometric techniques are employed to analyze the continuous and remarkable growth which has characterized international stock markets since 1995. The Campbell and Shiller dividend discount model, a dynamic version of Gordon's formula commonly employed by financial analysts to...

Persistent link: https://www.econbiz.de/10005671380

The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings

Hawawini, G.; Keim, D.B. - Institut Européen d'Administration (INSEAD) - 1997

In this paper we review the evidence on the cross-sectional behaviour of common stock returns in the US and other equity markets around the world. Since the early 1980's, a growing number of empirical studies have documented the presence of persistent cross-sectional patterns in stock returns...

Persistent link: https://www.econbiz.de/10005641529

Financial Markets Interactions between Economic Theory and Practice

NICOLAU, Mihaela - In: Economics and Applied Informatics (2010) 2, pp. 27-36

During the last decades many financial analysts, either theorists or practitioners, have dedicated their studies to the interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets are closely related, therefore a thorough...

Persistent link: https://www.econbiz.de/10010625562

„BLACK-SCHOLES MODEL USED TO EVALUATE STOCKS OPTIONS”

Calin, Turcan Radu Olimpiu - In: Annals of Faculty of Economics 1 (2010) 2, pp. 795-799

and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time. …

Persistent link: https://www.econbiz.de/10008829731

Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières

Kourouvakalis, Stylianos - Université Paris-Dauphine (Paris IX) - 2008

(2006) for electricity spot prices, incorporating both mean reversion and jumps, the direction of the latter depending on … commodity price returns to the returns of stock prices of companies that produce the relevant commodity (oil, copper and wheat … are used in the study). The results provide evidence that the stock prices are indeed influenced by the price of the …

Persistent link: https://www.econbiz.de/10010705810