Econometrics: Applied Econometric Modeling in Financial Economics eJournal最新文献_第9页

Psychology, Stock/FX Trading, and Option Prices 心理学，股票/外汇交易和期权价格

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-25 DOI: 10.2139/ssrn.1992016

A. Beilis, J. Dash, Jacqueline Volkman Wise

{"title":"Psychology, Stock/FX Trading, and Option Prices","authors":"A. Beilis, J. Dash, Jacqueline Volkman Wise","doi":"10.2139/ssrn.1992016","DOIUrl":"https://doi.org/10.2139/ssrn.1992016","url":null,"abstract":"The financial crisis of 2008 had many putative causes. Psychology was an important driver for human decisions underlying these causes. However, quantitative financial models have no “knobs” to dial psychology parameters, and so arguably cannot possibly cope with financial crises. We have no illusions of the difficulty of including psychology in financial modeling. Here we take a first step by considering how a particular aspect of psychology can influence an underlying security and subsequent option prices, in a quantitative model. The underlying security can be a stock or an FX rate. There are three steps. First we investigate how psychological regret and fear impact trading selling behavior. Second we use results from the first step to link this changed trading behavior with induced changes in underlying security prices. Third, we consider changes in option prices due to these induced underlying security price changes. The results can be expressed either as a modified effective dividend for stock options, a modified effective interest rate for FX options, or an unusual change in implied volatility. Options analysis for some USDCAD FX European options with implied parameters indicates this approach has some empirical relevance. The contribution of this paper is thus threefold: 1. The paper breaks ground by emphasizing the desirability of incorporating interdisciplinary explicit interaction between behavioral finance and securities modeling, 2. The paper provides a definite model with a quantitative mechanism of how a particular psychological behavior can influence the prices of some securities, and 3. The paper shows that this model can facilitate the description of some illustrative option data.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131346679","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Media Coverage and the Cross-Section of Stock Returns in Indonesia 印尼媒体报道与股票收益的横截面分析

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-25 DOI: 10.2139/ssrn.2000692

Amelia Meidyawati

{"title":"Media Coverage and the Cross-Section of Stock Returns in Indonesia","authors":"Amelia Meidyawati","doi":"10.2139/ssrn.2000692","DOIUrl":"https://doi.org/10.2139/ssrn.2000692","url":null,"abstract":"This research evaluates if the media coverage from newspaper affect Indonesia’s securities markets in the way that the more coverage a stock get, the lower the return will be and the less coverage, or even no coverage a stock get, the higher the return will be. If it is found, then the causes behind the media effect are going to be analyzed and chosen from three different causes, which are return and reversal drift, impediment to trade hypothesis, or Merton’s investor recognition hypothesis.The research data consists of monthly return of long-short portfolio of all stocks in Indonesia’s stock market that did not cease and is not newly listed from January 2006 to December 2010, which is formed by going long (buying) no-coverage stocks and going short (selling) high-coverage stocks. The first test which is conducted is diagnostic test (normality, heteroskedasticity, auto-correlation, and multicollinearity test) to the variables to ensure that the equations in this research have BLUE estimator. Then, the ordinary least square regression is applied to the capital asset pricing model, Fama-French three factor model, and Carhart four-factor model to see whether the media effect exists.This research found that the media effect does not exist because what is found is that return of high-coverage stocks is higher than return of no-coverage stocks in Indonesia’s stock market.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127752300","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Comparison of Pre-Recession and Post-Recession Volatility in NIFTY NIFTY衰退前与衰退后波动性的比较

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-20 DOI: 10.2139/ssrn.1988809

Shanki Jain, M. Dash

引用次数: 0

Is there Inter-Regional Systemic Risk Contagion? An Investigation of Inter-Regional Systemic Risk Spillover Effects using the ESS-indicator and Bank CDS Spreads 是否存在跨区域系统性风险传染?基于ess指标和银行CDS价差的区域间系统性风险溢出效应研究

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-20 DOI: 10.2139/ssrn.1994849

W. Lahmann

{"title":"Is there Inter-Regional Systemic Risk Contagion? An Investigation of Inter-Regional Systemic Risk Spillover Effects using the ESS-indicator and Bank CDS Spreads","authors":"W. Lahmann","doi":"10.2139/ssrn.1994849","DOIUrl":"https://doi.org/10.2139/ssrn.1994849","url":null,"abstract":"During the 2007-2009 financial crisis certain events in the American financial system affected financial markets around the globe. Moreover, since the onset of the euro zone sovereign debt crisis, the systemic risk in Europe also appeared to affect the banking sector risk in other regions. While both effects are mentioned frequently in the public discourse on banking sector risk contagion and regulation, a scientific examination of these inter-regional contagion effects is to the best of our knowledge not available. In this paper we fill this gap and analyze the inter-regional systemic risk contagion effects between the regional relative expected systemic shortfall (ESS) indicator and alternatively the regional bank CDS spreads of the American, Asia-Pacific, European as well as the Middle East and Russia sub-samples in Lahmann/Kaserer (2011) by means of Granger-causality tests and impulse response analysis in vector autoregressive frameworks during four sub-periods between October 2005 and April 2011.We find that during the financial crisis period the systemic risk in America leads the systemic risk in other regions and during the euro zone sovereign debt crisis period the impact of the European systemic risk on the banking sectors in other regions is more pronounced. Moreover, additional lead-lag relationships are observed.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127666442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Option-Implied Equity Premia and the Predictability of Stock Market Returns 期权隐含的股权溢价与股票市场收益的可预测性

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-19 DOI: 10.2139/ssrn.1933617

M. Karoui

引用次数: 1

Analytical Pricing of CDOs in a Multi-Factor Setting by a Moment Matching Approach 基于矩匹配方法的多因素cdo定价分析

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-16 DOI: 10.2139/ssrn.1986805

A. Castagna, F. Mercurio, P. Mosconi

引用次数: 0

Islamic Private Equity: What is New? 伊斯兰私募股权:有什么新动向?

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-15 DOI: 10.2139/ssrn.1985389

O. Yousfi

{"title":"Islamic Private Equity: What is New?","authors":"O. Yousfi","doi":"10.2139/ssrn.1985389","DOIUrl":"https://doi.org/10.2139/ssrn.1985389","url":null,"abstract":"The current paper analyzes similarities and differences between conventional and Islamic private equity (PE). Despite the financial subprime crisis and the lack of liquidities in financial markets, PE still play an important role in financing growing unlisted firms all over the world. However, conventional PE and Islamic PE display different features. First, Islamic PE funds have less investments opportunities and cannot diversify their projects across activities and sectors mainly because of the Shari’ah compliance criterion. For instance, the PE funds is composed of the managers team, the Shari’ah supervision board SSB and the supervision compliance officer SCO. Second, the choice of PE partnerships depends on the target’s performance, the Islamic scholars’ school and the religiosity degree of the country where they operate, and the SSB policy. Third, they bear varied and different risks from their conventional counterparts. As a consequence, Islamic PE financing is expensive and still not very competitive. Fourth, to overcome and mitigate risks, conventional PE funds can issue convertible securities and abandon prematurely bad quality projects. In contrast, Islamic PE funds are actively involved in the project only in specific cases and cannot exit prematurely the target but can sell gradually their stocks to cover their equity. Finally, financial modes vary according to the degree of involvement of the PE fund in the project and the pre-agreed arrangements between the entrepreneur and the PE fund.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132672614","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Empirical Evidence for State and Time Separable Preferences: Case Finland 状态和时间可分离偏好的经验证据:芬兰案例

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-11 DOI: 10.2139/ssrn.1985267

N. Virk

引用次数: 0

International Mutual Funds: MSCI Benchmarks and Portfolio Evaluation 国际共同基金:MSCI基准和投资组合评估

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-07 DOI: 10.2139/ssrn.1981327

George Comer, Javier Rodríguez

引用次数: 9

Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks 高效拉普拉斯反演、Wiener-Hopf分解与定价回溯

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-04 DOI: 10.2139/ssrn.1979227

S. Boyarchenko, S. Levendorskii

引用次数: 33