Showing 11 - 20 of 12,959
This paper studies security markets with trading frictions, and offers a complete characterization of viable convex cost systems. For frictional markets that give rise to a convex-cone traded-payoff span and a sublinear payoff cost functional, the following three conditions are equivalent:...
Persistent link: https://www.econbiz.de/10009145693
There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets, has a poor empirical record and is...
Persistent link: https://www.econbiz.de/10009147423
Persistent link: https://www.econbiz.de/10009209566
This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...
Persistent link: https://www.econbiz.de/10009393962
We use heterogeneous autoregressive (HAR) model with high-frequency data of Hu-Shen 300 index to investigate the volatility-volume relationship via the volatility decomposition approach. Although we find that the continuous component of daily volatility is positively correlated with trading...
Persistent link: https://www.econbiz.de/10009352239
New theories have emerged over the past 10 years that reveal CEFs to be an important and efficient organizational device. This review surveys the old and current literature on closed-end funds (CEFs) in general and theories of discounts in particular. Among the topics reviewed are liquidity...
Persistent link: https://www.econbiz.de/10010692369
A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson...
Persistent link: https://www.econbiz.de/10010692907
Single period risks acceptable to the market at zero cost are modeled by a convex set of random variables leading to bid and ask prices that are trade size dependent. The theory of nonlinear expectations is employed to construct dynamically consistent sequences of bid and ask unit size prices...
Persistent link: https://www.econbiz.de/10010699493
The Sum of Perpetuities Method (SPM) has been introduced as a method of valuing equity, and compared to the Gordon Growth Model (GGM). I point out some features of these two valuation methods, and in particular I show that these two models make different, sometimes implicit, assumptions...
Persistent link: https://www.econbiz.de/10010699999
We show how to price the time series and cross section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring...
Persistent link: https://www.econbiz.de/10010702367