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Author : Aamir Sheikh
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (167 download)
Download or read book Stock Splits, Volatility Increases and Implied Volatilities written by Aamir Sheikh and published by . This book was released on 1986 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brandon Julio
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Informational Content of Implied Volatility Around Stock Splits written by Brandon Julio and published by . This book was released on 2005 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research has been mixed with respect to whether option implied volatility reflects market expectations about future realized volatility for the underlying asset. This paper uses a previously documented volatility increasing event, the stock split, to investigate the informational content in implied volatility around stock split announcements. We find that the time series profile of implied volatility around stock splits is consistent with the predictions of standard option pricing theory. Option market participants appear to revise their forecasts of future realized volatility permanently upward at the split announcement. In addition, we find that changes in implied volatility at the split announcement provide informative forecasts of changes in realized stock volatility at the ex-date. However, these forecasts are biased and inefficient as other known, firm-specific variables improve the forecasts of changes in realized volatility. The use of intra-daily realized volatility estimates rather than those based on daily observations significantly reduces the bias in predictive regressions.
Author : Philip Gharghori
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (13 download)
Download or read book Informed Trading Around Stock Split Announcements written by Philip Gharghori and published by . This book was released on 2015 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders' perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence though of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.
Author : A. S. Desai
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.E/5 ( download)
Download or read book Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid-ask Spread written by A. S. Desai and published by . This book was released on 1996 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Angel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book When-Issued Shares, Small Trades and the Variance of Returns Around Stock Splits written by James Angel and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The increases in volatility subsequent to stock splits have long puzzled researchers. The usual suspects of discreteness and bid-ask spread do not provide a complete explanation. This paper offers clues to solve this mystery by examining the trading of quot;when, as and if issuedquot; shares that are available prior to the split. When-issued trading permits noise traders to compete with a more homogenous set of traders decreasing the volatility of the stock prior to the split date. Following the split, these noise traders reunite in one market and volatility increases. This suggests that the higher volatility after the ex-date of a stock split is a function of the introduction of when-issued trading before the ex-date, the new lower price level after the split date, and the increased activity of small-volume traders around a stock split.
Author : Robert A. Haugen
Publisher : Pearson
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.F/5 ( download)
Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author : Anand S. Desai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread written by Anand S. Desai and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine changes in trading activity around stock splits, and their effect on the volatility and the adverse information component of the bid-ask spread. Even after controlling for microstructure biases, we find a significant increase in the volatility after the split. Changes in total volatility and in its permanent component are positively related to changes in the number of trades. This suggests that both informed and noise traders contribute to changes in trading activity. Further, while the adverse information component of the spread increases unconditionally after the split, the change is negatively related to the change in trading activity. The results suggest that a crucial determinant of liquidity changes after a stock split is the success of the split in attracting new trades in the security.
Author : Natalie Benz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book The Drift of Implied Volatilities Before Earnings Announcements written by Natalie Benz and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master's thesis provides a comprehensive analysis of the behavior and influences of the S&P stock composition on implied volatility during earnings announcements that cover the period from 1996 to 2015. While prior studies have found that implied volatility increases in the pre-event period before an announcement, this thesis shows that implied volatility increases as soon as the announcement day is included in the lifetime of an option. In a liquid market, where information is processed much faster, the expectation of increased volatility is included in the lifetime of an option earlier and prevents an actual short-term updrift from occurring. Such liquid markets also exhibit some small deviations of implied volatility in the pre-announcement period, with increased uncertainty of the outcome of earnings announcements and divergent analyst forecasts. Cross-section regressions further reveal that relative drifts of implied volatility during earnings announcements are significantly explained not only by macroeconomic factors but also by the number of open contracts and the attention paid by investors and analysts. In a time when the CBOE Volatility Index (VIX) level is low and the spread between historical and implied volatility is high, overestimation of future volatility additionally leads to a stronger increase of drift.
Author : Terence Lim
Publisher : Now Publishers Inc
ISBN 13 : 1933019212
Total Pages : 225 pages
Book Rating : 4.9/5 (33 download)
Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
Author : Aamir Mohammad Sheikh
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (29 download)
Download or read book Essays on Volatilities Implied by Option Prices written by Aamir Mohammad Sheikh and published by . This book was released on 1987 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : H. Kent Baker
Publisher : John Wiley & Sons
ISBN 13 : 0470471220
Total Pages : 832 pages
Book Rating : 4.4/5 (74 download)
Download or read book Dividends and Dividend Policy written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2009-04-27 with total page 832 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.
Author : George Frankfurter
Publisher : Elsevier
ISBN 13 : 0080488730
Total Pages : 249 pages
Book Rating : 4.0/5 (84 download)
Download or read book Dividend Policy written by George Frankfurter and published by Elsevier. This book was released on 2003-06-24 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividend Policy provides a comprehensive study of dividend policy. It explores the puzzle presented by dividends: irrational and subject to fashion, yet popular and desirable, they remain a priority among managers, even while perceived as largely symbolic. After exploring the history of dividend payments, from the emergence of the modern corporation to current perspectives, it traces the evolution of academic models on dividend policy. Here the authors review models of symmetric and asymmetric information before analyzing academia's accomplishments in solving the dividend puzzle. Related subjects, such as valuation and wealth distribution, round out the authors' presentation about new ways to think about one of the most intriguing subjects in financial economics. The book is recommended for professors and students in departments of finance and business, corporate finance staff, and financial regulators. The only comprehensive study of dividend policy Covers the historical evolution of dividends and academic research on dividend policy Presents new ways of thinking about dividends and dividend policy
Author : Robert Schott
Publisher : diplom.de
ISBN 13 : 3836621118
Total Pages : 87 pages
Book Rating : 4.8/5 (366 download)
Download or read book Implicit Volatilities written by Robert Schott and published by diplom.de. This book was released on 2008-10-23 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Introduction: Volatility is a crucial factor widely followed in the financial world. It is not only the single unknown determinant in the Black & Scholes model to derive a theoretical option price, but also the fact that portfolios can be diversified and hedged with volatility makes it a topic, which is crucial to understand for market participants comprising a wide group of private investors and professional traders as well as issuers of derivative products upon volatility. The year 1973 was in several respects a crucial year for implicit volatility. The breakdown of the Bretton-Wood-System paved the way for derivative instruments, because of the beginning era of floating currencies. Furthermore Fischer Black and Myron Samuel Scholes published in 1973 the ground breaking Black & Scholes (BS) model in the Journal of Political Economy. This model was adopted in 1975 at the Chicago Board Options Exchange (CBOE), which also was founded in the year 1973, for pricing options. Especially since 1973 volatility has become a tremendously debated topic in financial literature with continually new insights in short-time periods. Volatility is a central feature of option-pricing models and emerged per se as an independent asset class for investment purposes. The implicit volatility, the topic of the thesis, is a market indicator widely used by all option market practitioners. In the thesis the focus lies on the implicit (implied) volatility (IV). It is the estimation of the volatility that perfectly explains the option price, given all other variables, including the price of the underlying asset in context of the BS model. At the start the BS model, which is the theoretical basic of model-specific IV models, and its variations are discussed. In the concept of volatility IV is defined and the way it is computed is given as well as a look on historical volatility. Afterwards the implied volatility surface (IVS) is presented, which is a non-flat surface, a contradiction to the ideal BS assumptions. Furthermore, reasons of the change of the implied volatility function (IVF) and the term structure are discussed. The model specific IV model is then compared to other possible volatility forecast models. Then the model-free IV methodology is presented with a step-to-step example of the calculation of the widely followed CBOE Volatility Index VIX. Finally the VIX term structure and the relevance of the IV in practice are shown up. To ensure a good [...]
Author :
Publisher :
ISBN 13 :
Total Pages : 852 pages
Book Rating : 4.4/5 (5 download)
Download or read book Journal of financial economics written by and published by . This book was released on 1988 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Colin Bennett
Publisher :
ISBN 13 : 9781461108757
Total Pages : 316 pages
Book Rating : 4.1/5 (87 download)
Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
Author :
Publisher :
ISBN 13 :
Total Pages : 792 pages
Book Rating : 4.:/5 (31 download)
Download or read book Research Program in Finance Working Paper Series written by and published by . This book was released on 1971 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.:/5 (318 download)
Download or read book Multinational Finance Journal written by and published by . This book was released on 2011 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
