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Three Essays In Empirical Derivatives
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Book Synopsis Three Essays in Empirical Studies on Derivatives by :
Download or read book Three Essays in Empirical Studies on Derivatives written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: PhD.
Book Synopsis Three Essays in Empirical Derivatives by :
Download or read book Three Essays in Empirical Derivatives written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Empirical Studies on Derivatives by : Yun Li
Download or read book Three Essays in Empirical Studies on Derivatives written by Yun Li and published by . This book was released on 2009 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is a collection of three essays in empirical studies on derivatives. In the first chapter, I investigate whether credit default swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The risk composition is measured by the systematic risk proportion, defined as the proportion of the systematic variance in the total variance. I find that a firm's systematic risk proportion has a negative and significant effect on its CDS spreads. Moreover, this empirical finding is robust to various alternative specifications and estimations. Therefore, the composition of the total risk is an important determinant of CDS spreads.In the second chapter, I estimate the illiquidity premium in the CDS spreads based on Jarrow's illiquidity-modified Merton model using the transformed-data maximum likelihood estimation method. I find that the average model implied CDS illiquidity premium is about 15 basis points, accounting for 12% of the average level of the CDS spread. I further investigate how this parameter is affected by CDS liquidity measures such as the percentage bid-ask spread and the number of daily CDS spreads available in one month. I find that both liquidity measures are significant determinants of the model implied CDS illiquidity premium. In terms of relative importance, the bid-ask spread is more important than the number of daily CDS spreads statistically and economically.In the third chapter, I investigate the impact of the systematic risk on the volatility spread, i.e, the difference between the risk-neutral volatility and the physical volatility. I find that the systematic risk proportion of an underlying asset has a positive and significant impact on its volatility spread. The risk-neutral volatility in this study is measured with the increasingly popular approach known as the model-free risk-neutral volatility. The surprising positive systematic risk effect was first documented in Duan and Wei (2009) using the Black-Scholes implied volatility. I show that this effect is actually more prominent using the clearly better model-free risk-neutral volatility measure.
Book Synopsis Three Essays in Empirical Corporate Finance by :
Download or read book Three Essays in Empirical Corporate Finance written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three essays on empirical finance by : Tse-Chun Lin
Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Empirical Market Microstructure of Money Market Derivatives by : Jing Nie
Download or read book Three Essays on the Empirical Market Microstructure of Money Market Derivatives written by Jing Nie and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Information Content of Index Derivatives by : Anja Frommherz
Download or read book On the Information Content of Index Derivatives written by Anja Frommherz and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Empirical Industrial Organization by : Matthew Shum
Download or read book Three Essays in Empirical Industrial Organization written by Matthew Shum and published by . This book was released on 1998 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Theoretical and Empirical Derivative Pricing by : Ali Boloorforoosh
Download or read book Three Essays in Theoretical and Empirical Derivative Pricing written by Ali Boloorforoosh and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange by : Daniel Deng
Download or read book Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange written by Daniel Deng and published by . This book was released on 2006 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Derivatives by : Ivilina Tomova Popova
Download or read book Three Essays in Derivatives written by Ivilina Tomova Popova and published by . This book was released on 1996 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Empirical Asset Pricing by : Wenqing Wang
Download or read book Three Essays on Empirical Asset Pricing written by Wenqing Wang and published by . This book was released on 2004 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Empirical Asset Pricing by : Alessio Alberto Saretto
Download or read book Three Essays in Empirical Asset Pricing written by Alessio Alberto Saretto and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Empirical Auctions by : Sudip Gupta
Download or read book Three Essays in Empirical Auctions written by Sudip Gupta and published by . This book was released on 2005 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in the Corporate Use of Financial Derivatives by : Long Phi Tran
Download or read book Three Essays in the Corporate Use of Financial Derivatives written by Long Phi Tran and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation by : Iván Blanco
Download or read book Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Book Synopsis Three Essays in Empirical Finance by : Caterina Forti Grazzini
Download or read book Three Essays in Empirical Finance written by Caterina Forti Grazzini and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: