Three essays on empirical finance PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Three essays on empirical finance PDF full book. Access full book title Three essays on empirical finance by Tse-Chun Lin. Download full books in PDF and EPUB format.
Author: Tse-Chun Lin
Publisher: Rozenberg Publishers
ISBN: 9036101514
Category :
Languages : en
Pages : 146
Get Book Here
Book Description
Author: Tse-Chun Lin
Publisher: Rozenberg Publishers
ISBN: 9036101514
Category :
Languages : en
Pages : 146
Get Book Here
Book Description
Author: Iván Blanco
Publisher: Ed. Universidad de Cantabria
ISBN: 8481028770
Category : Business & Economics
Languages : en
Pages : 90
Get Book Here
Book Description
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.
Author: Daniel Deng
Publisher:
ISBN:
Category : Electric power distribution
Languages : en
Pages : 170
Get Book Here
Book Description
Author: Wenqing Wang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 342
Get Book Here
Book Description
Author: Jeremy Joseph Evnine
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 288
Get Book Here
Book Description
Author: Robert A. Jarrow
Publisher: World Scientific
ISBN: 9812819223
Category : Business & Economics
Languages : en
Pages : 609
Get Book Here
Book Description
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author: Lionel Martellini
Publisher:
ISBN:
Category :
Languages : en
Pages : 390
Get Book Here
Book Description
Author: Alessio Alberto Saretto
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 322
Get Book Here
Book Description
Author: Jian Chen
Publisher: Springer
ISBN: 9811074283
Category : Business & Economics
Languages : en
Pages : 163
Get Book Here
Book Description
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author: Ronald C. Heynen
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 228
Get Book Here
Book Description
