共查询到20条相似文献,搜索用时 15 毫秒
1.
Kasper Larsen Traian A. Pirvu Steven E. Shreve Reha Tütüncü 《Finance and Stochastics》2005,9(2):177-195
A random variable, representing the final position of a trading strategy, is deemed acceptable if under each of a variety of probability measures its expectation dominates a floor associated with the measure. The set of random variables representing pre-final positions from which it is possible to trade to final acceptability is characterized. In particular, the set of initial capitals from which one can trade to final acceptability is shown to be a closed half-line
. Methods for computing
are provided, and the application of these ideas to derivative security pricing is developed.Received: May 2004, Mathematics Subject Classification (2000):
91B30, 60H30, 60G44JEL Classification:
G10Steven E. Shreve: Work supported by the National Science Foundation under grants DMS-0103814 and DMS-0139911.Reha Tütüncü: Work supported by National Science Foundation under grants CCR-9875559 and DMS-0139911. 相似文献
2.
Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to stock prices that dominates trading volume effects. We also observe asymmetric changes in the impact of trading volume between bull and bear price momentum phases and after large trading volume shocks. These results suggest that, in future, studies on trading volume should control for the cross-correlation impact from derivative prices and the differential impact of trading phases. 相似文献
3.
Richard M. Levich 《Review of Financial Economics》2012,21(3):102-110
The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd–Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade currency futures on existing futures markets which standardize counterparty risks. Evidence for the period 2005–11 indicates that the market share of currency futures trading has grown relative to the pre-crisis period. This shift may be the result of a perceived increase in counterparty risk among banks, as well as changes in relative trading costs or changes in other institutional factors. 相似文献
4.
Patrick Houlihan 《Quantitative Finance》2019,19(5):763-777
We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: (1) specific market participant's options trading volume is a predecessor to asset price movements, and (2) portfolios based on the put-call ratio adjusted for four factors Carhart model and transaction costs exhibit abnormal excess returns. 相似文献
5.
We conduct an experiment to explore the time-consistency of risk preferences in a multi-period betting game. Specifically, subjects planned their contingent betting decisions in advance then played the game dynamically later to determine whether their respective decisions matched. We find that subjects took more risk than planned in their initial bet and after losses. In addition, this increased risk was associated with an increase in breakeven mental accounting. Our findings indicate that immediacy of outcomes can lead to impulsive risk-taking behavior and highlight the importance of precommitment to long-term financial planning. 相似文献
6.
Insider trading as a signal of private information 总被引:7,自引:0,他引:7
There is substantial evidence that insider trading is presentaround corporate announcements and that this insider tradingis motivated by private information. Using real estate investmenttrusts that choose to reappraise themselves as our sample, weestablish that the appraisals contain information, but findno market response to the public announcement of this informationin these appraisals. We consider two possible explanations forthis inconsistency: the first that the appraisal informationis not highlighted in earnings reports and hence remains unobserved;and the second that insiders trade on the appraisal informationin the time that elapses between the appraisal and its publicannouncement We find strong support for the second hypothesis,with insiders buying (selling) after they receive favorable(unfavorable) appraisal news, especially for negative appraisals.We also find that positive (negative) appraisals and net insiderbuying (selling) elicit significant positive (negative) abnormalreturns during the appraisal period 相似文献
7.
《Accounting, Organizations and Society》1988,13(1):87-98
An incentive problem in participative budgeting occurs when a worker has private information about factors that influence his or her performance and the pay scheme is budget- or standard-based. This information, if communicated accurately by the worker, may be valuable to a manager for planning and control purposes. However, the worker has an incentive to bias its communication such that a relatively easy standard is set, thereby creating slack. To alleviate this problem, analytical research has proposed truth-inducing pay schemes that provide incentives for accurately communicating private information and maximizing performance. A conventional assumption underlying these schemes is worker risk neutrality, despite the wide-spread belief that risk aversion is more typical in organizational settings. This paper reports an experiment demonstrating that, when a (conventional) truth-inducing scheme is introduced, slack decreases for risk-neutral subjects but not for risk-averse subjects. 相似文献
8.
Finance and Stochastics - We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences,... 相似文献
9.
《Quantitative Finance》2013,13(3):220-229
Abstract This model incorporates technical trading rules (TTRs) that extract information from the price, allowing the users to benefit from the information. Sustainable profits are possible as long as the price movements reflect changes in the security's intrinsic value. The choice to use the TTR rather than fundamental information is endogenous to the model. Increases in the popularity of the TTR can produce price bubbles and diminish the TTR's ability to extract a reliable signal. Large fluctuations in the TTR's popularity lead to unsustainable periods of positive profits coupled with long-term losses. 相似文献
10.
Summary In this paper we show how rational expectations equilibrium models with asymmetric information, without market frictions, can generate extreme comovements in asset prices. Information asymmetries generate a multiplier effect on price correlation - a World Bank definition of financial contagion. This is shown in two frameworks: perfect and imperfect competition. In the first framework, we also model a version of home-bias, showing why information sharing explains crosscountry capital flows. In the second framework, we provide closed form solutions for a model with multiple insiders and assets that generalize the ideas in [10]. 相似文献
11.
We study the effects of the introduction of a closing auction (CA) on the microstructure on the continuous trading phase in Borsa Italiana and Paris Bourse. We postulate and compare several empirical predictions based on both standard Kyle-type models and more recent models of limit order book. We find that while the CA has no effect during most of the day, its effect on the last minutes of trading is dramatic. We document a sharp decline in volume, associated with a significant reduction in spread and volatility, and an increase in aggressiveness of liquidity suppliers during the last minutes. We show that the differences in the Reference Price algorithm between Milan and Paris have a significant effect: the CA attracts greater volumes when the Reference Price is equated to the CA price. 相似文献
12.
In this paper, we examine the role played by the holders of privileged information (insiders) in stimulating trading volume which adds explanatory power to a price-based model of returns in a market where the actions of insiders can be isolated – a pari-mutuel betting market. We conduct conditional logit analyses based on data relating to 19,164 horses running in 2078 races (49 racetracks) staged across the UK between 1 June and 31 August 1996. These analyses indicate that prices generally fail to incorporate fully information contained in trading volumes. However, the betting public fully discounts volume information in markets most commonly viewed as attracting bets from insiders. Isolation of the actual degree of insider activity sheds light on the variation in volume effects. 相似文献
13.
Duddleston DN 《Journal of insurance medicine (New York, N.Y.)》2004,36(3):262-266
This case report examines the factors involved in the mortality risk of low-grade proteinuria. Proteinuria and microalbuminuria are defined and the use of the protein-creatinine ratio is discussed. Studies from the medical literature suggest that albuminuria complements risk selection in diabetics and nondiabetics and may parallel or adversely modify other cardiovascular risk factors. 相似文献
14.
We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news announcements hypotheses. Instead, we show that institutional traders (foreign and domestic) significantly increase their trading volumes (on the buying side) at month end, potentially pushing prices up. There is no evidence of a similar behavior on the retail side. We suggest this to be a major cause of the observable TOM effect in India. 相似文献
15.
Many theoretical papers suggest that large informed traders should make misleading or random trades to disguise their trading. Alternatively, informed traders may trade purely on their estimate of stock value. This paper examines the trading behavior of a large institutional insider that periodically trades in the wrong direction, i.e., makes occasional sell (buy) trades within packages of buy (sell) trades. Using a hand-collected data set, we find that three quarters of the trade packages include wrong-direction trades. Wrong trades appear to be used mostly to disguise right-direction trades. We find that the wrong-trade stocks are larger and have less noisy returns, hence, they lack natural disguise. Wrong trades are relatively small, used to accentuate return volatility, distributed evenly during a package of trades, and are not consistently profitable. 相似文献
16.
I compare the performance of buy/hold/sell recommendations from foreign, local, and expatriate (foreigners with local operations) analysts in an emerging market. Location appears to be important: expatriate analysts significantly outperform foreign analysts. Expatriates also significantly outperform locals, implying that other factors such as global resources also play a role, and a variety of controls for the characteristics of the recommending firm does not alter findings. Trading based on expatriate recommendations generates significantly positive risk-adjusted returns. Furthermore, foreign and local institutional investors appear to trade on the superior information of expatriate analysts, even when it contradicts their own information. 相似文献
17.
MATIF is the only major exchange offering a 24-hour non-interrupted trading cycle accommodating two distinct non-overlapping trading mechanisms. We find that trading volume on the floor is significantly higher than that on GLOBEX around the switch of trading mechanism. GLOBEX is mainly used by institutions to hedge their cash positions. The higher trading volume on the floor may be attributed to several factors: trade immediacy vs. transaction cost, liquidity trading by locals, inertia to trade under a new mechanism, and transparency vs. anonymity. In addition, the floor's open is unique with large interday return volatility. 相似文献
18.
Cross-listed shares may confound government efforts to control capital outflows by providing a legal means through which investors can transfer their wealth outside the country. We study the recent experience of investors who while subject to capital controls, were able to purchase cross-listed shares using local currency, convert them into dollar-denominated shares, re-sell them abroad, and deposit the dollar proceeds in foreign bank accounts. Capital controls drive a wedge between the price of local shares and their corresponding cross-listed shares. This wedge provides an implicit devaluation forecast and the market's valuation of capital control circumvention. 相似文献
19.
《Journal of Accounting Education》1986,4(1):203-209
Based on the Kirton Adaption-Innovation theory and recent studies, this exploratory study examines the relationship between the Adaptor-Innovator style and accounting under-graduates' subject interests and career preferences. Results provide some preliminary evidence that there is a relationship between adaptor-innovator style and accounting undergraduates' subject interests and career preferences. 相似文献
20.
Ingmar Nolte 《European Journal of Finance》2013,19(10):885-919
This article uses a panel survival approach to analyze the trading behavior of foreign exchange traders. We concentrate on a detailed characterization of the shape of the disposition effect over the entire profit and loss regions. In doing so, we investigate the influence of a number of trading characteristics on the impact of the disposition effect. These trading characteristics include: special limit order strategies, trading success, size and the experience of our investors. Our main findings are that (i) the disposition effect has a nonlinear shape. For small profits and losses we find an inverted disposition effect, while for larger ones, the usual positive disposition effect emerges. (ii) The inverted disposition effect is driven to a great extend by patient and cautious investors closing their positions with special limit orders (take-profit and stop-loss). The normal positive disposition effect is found to be intensified for impatient investors closing their positions actively with market orders. (iii) We show that unsuccessful investors reveal a stronger inverse disposition effect. (iv) Evidence that bigger investors are less prone to the disposition effect than smaller investors is also found. 相似文献