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Recent studies find abnormal common stock price behavior associated with ex-dates of stock splits. Volatility increases are substantia) and abrupt. This study extends previous analyses to the options market by examining investor perceptions of volatility increases through implied standard deviations of returns. Investors fail to anticipate volatility increases until the ex-date. Furthermore, abnormal option returns are present. The increased volatility and these results suggest option market inefficiency.  相似文献   

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This paper discusses the statistical properties of a mixed stochastic process and conducts a thorough empirical test of the process for an extensive group of common stocks and portfolios of stocks. It is found that a homogeneous diffusion process does not adequately describe stock price fluctuations and that there are significant discontinuities in the sample paths of stock prices. This result holds for both individual stocks and portfolios of various sizes. The statistical fit of a particular mixed diffusion-jump process to sample data is also demonstrated.  相似文献   

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The assumption that changing expected cash flows and discount factors affect a security's return is at the foundation of many financial models. This study examines empirically the hypothesis that expected stock return variability is a function of cash flow and discount rate uncertainty. Maximum likelihood estimation techniques and expectational data are employed. Strong, positive relationships are found, verifying the foundations of the ex-ante models with ex-ante data and providing a better understanding of security markets by explaining, in part, the causes of expected stock price variability.  相似文献   

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We propose a method for detecting changes in the order balance in stock markets by applying a stochastic model to the feature vectors extracted from the order‐book data of stocks. First, the data are divided into training and test periods. Next, a Gaussian mixture model is estimated from the feature vectors extracted from the order‐book data in the training period. Finally, the goodness of fit of the feature vectors in the test period over this model is calculated. Using the proposed method, we found that the order balances of stocks for which insider trading was reported were unusual. Copyright © 2014 John Wiley & Sons, Ltd.  相似文献   

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In this paper we extend the traditional price change hedge ratio estimation method by applying the theory of cointegration to hedging with stock index futures contracts for France (CAC 40), the United Kingdom (FTSE 100), Germany (DAX), and Japan (NIKKEI). Previous studies ignore the last period's equilibrium error and short-run deviations. The findings of this study indicate that the hedge ratios obtained from the error correction method are superior to those obtained from the traditional method as evidenced by the likelihood ratio test and out-of-sample forecasts. Using the procedures developed in this paper, hedgers can control the risk of their portfolios more effectively at a lower cost.  相似文献   

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