Download or read book Short Selling Unwinding and Mispricing written by Alexander Kempf and published by . This book was released on 1997 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper is concerned with the influence of index arbitrage trading on the mispricing process in the presence of market frictions. Specifically, it highlights the as yet ignored impact of short selling restrictions in the spot market and early unwinding opportunities on the mispricing process.A multiperiod equilibrium model of the mispricing between a stock index and index futures is developed to study the impact of optimal arbitrage trading on the mispricing. The model leads to the following main results. First, the mean reversion of the mispricing is arbitrage induced. Second, arbitrage trading and mean reversion of the mispricing depend on the behavior of the mispricing in the past. Third, the impact of arbitrage trading on the mispricing increases with a decreasing time to maturity of the futures contract. Finally, arbitrage trading keeps the mispricing away from zero in certain cases. This suggests that mispricing may not exist despite arbitrage trading but exist due to arbitrage trading.The hypotheses derived from the theoretical model are tested using intraday data for the German stock index DAX and DAX futures. Results concerning the level, the mean reversion and the path dependence of the mispricing are provided. They support the hypotheses stated above. Overall, the empirical evidence suggests that short selling restrictions and early unwinding opportunities are very influential factors for the behavior of the mispricing.
Download or read book Short Selling and Market Mispricing written by Eunju Lee and published by . This book was released on 2017 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide evidence on short sellers' ᑮxploitation of temporary mispricing in the equity market. Using a mispricing indicator that measures deviations from a stockņ's fundamental value, we ጿind higher levels of short selling for temporarily overvalued stocks. The result is robust to controlling for short sale constraints and illiquidity, and it is more pronounced when short sale constraints do not bind and stocks are illiquid. We also ጿind that informed short sellers are able to distinguish temporary overpricing from upward return momentum. However, when fundamental news is released, short sellers focus on exploiting negative fundamental changes rather than temporary overpricing. Short sellers contribute to market quality by correcting overpricing quickly over time, but they do not destabilize the market.
Download or read book Focus on Macroeconomics Research written by Lawrence Z. Pelzer and published by Nova Publishers. This book was released on 2005 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomics is that part of economics that focuses on economic growth and economic fluctuations. In a world under the push and pull of globalisation, it becomes crucial for the Developed Countries as well as the Developing Countries. It is necessary for some countries and companies to find the best regions to invest in while it is necessary for others to grow and compete for investment at the same time. This new book brings together an impressive array of research valuable for providing important insight into the international financial currents rippling around the world.
Download or read book Differential Rates Residual Information Sets and Transactional Algebras written by Rodolfo Apreda and published by Nova Publishers. This book was released on 2006 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both current theory and practice in financial markets are undergoing a strong pressure to include recently developed fields of inquiry, namely market microstructure, transaction costs and asymmetric information. This claim has been taking shape after nearly thirty years of worthy research and empirical development that laid sound groundwork to those promising subjects. The purpose of this book is to introduce a new approach to work out the returns from financial assets. Firstly, by means of the concept of differential rates, which allow the breaking down of the ordinary rate of return into components that are rates on their own. Secondly, residual information sets are built up to match each differential rate with its underlying information.
Download or read book International Trade Issues written by Robert V. Weeks and published by Nova Publishers. This book was released on 2006 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: While some may dispute that economics is the driving force behind much of history, nobody can argue that trade is not a significant factor in international relations. This book assembles a collection of articles examining some of the divisive issues in the international trade arena. It serves as a tool for understanding the economic subjects.
Download or read book Currencies and Globalization written by Marcy L. Ferrington and published by Nova Publishers. This book was released on 2007 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currencies are often the targets of speculators and the sometimes reflections and engines of a country's prosperity. They affect consumption rates, political stability and industrial success. Exchange rates are carefully set and endlessly analysed and changed. This book presents leading contemporary issues related to currencies and globalisation.
Download or read book Spin off to Pay off written by Joseph W. Cornell and published by McGraw-Hill Companies. This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than theory and research, however, Spin-off to Pay-off brings you proven evidence of how some spin-offs have worked for shareholders in the past ... while others have left shareholders high and dry. Actual case histories, presented along with Cornell's expert analysis, will fine-tune your sixth sense and clue you in on what signs to watch out for.
Download or read book Multinational Finance Journal written by and published by . This book was released on 2007 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Download or read book Cyclopedia of Philosophy written by Sam Vaknin and published by Narcissus Publications. This book was released on 2009-02-18 with total page 1583 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cyclopedia of issues in modern philosophy: The philosophy of science and religion, the cognitive sciences, cultural studies, aesthetics, art and literature, the philosophy of economics, the philosophy of psychology, and ethics.
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Download or read book Short Selling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2004-11-17 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest theoretical and empirical evidence on short selling in the United States and throughout the world To get the most success out of what the finance community regards as a risky business, short sellers need high-level information. The Theory and Practice of Short Selling offers managers and investors the information they need to maximize and enhance their short selling capabilities for bigger profits. Frank Fabozzi collects a group of market experts who share their knowledge on everything from the basics to the complex in the world of short sales, including mechanics of short selling, the empirical evidence on short-selling, the implications or restrictions on short selling for investment strategies, short-selling strategies pursued by institutional investors, and identifying short-selling candidates. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and Editor of the Journal of Portfolio Management. He is the author or editor of over 100 books on finance and investing.
Download or read book Behavioural Finance written by Dr. Ketan Vira and published by Academic Guru Publishing House. This book was released on 2024-04-29 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the purpose of gaining an understanding of how individuals make choices about their finances, the area of "Behavioural Finance" brings together concepts from the fields of psychology and economics. An investigation of the cognitive mistakes and psychological biases that affect investors and markets is presented. Several issues, including herd behaviour, overconfidence, loss aversion, and the influence of emotions on investing decisions, are discussed in depth throughout the book. To demonstrate how people stray from rational decision-making when it comes to the management of their money, authors in this discipline often explore real-world examples and experiments. Prominent individuals in the discipline comprise Daniel Kahneman, Amos Tversky, Richard Thaler, and Robert Shiller, all of whom have made substantial contributions to the body of knowledge regarding the intersection of human psychology and financial decision-making through their research. Anyone interested in understanding the complexities of human behaviour in relation to financial situations will find "Behavioural Finance" to be an invaluable resource. This includes investors, economists, psychologists, and others.
Download or read book Contrarian Investment Strategies written by David Dreman and published by Simon and Schuster. This book was released on 2012-01-10 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Download or read book Single Stock Futures written by Kennedy Mitchell and published by John Wiley & Sons. This book was released on 2003 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to know about Single Stock Futures "Single stock futures are an incredibly important new financial instrument for managing risk. Kennedy Mitchell provides an outstanding and easy-to-read explanation of these new products for either an expert futures user or for someone learning about futures markets for the first time." –Peter Borish, Senior Managing Director, OneChicago Although single stock futures may be a relatively new phenomenon in the United States, this instrument has been successfully traded for years in various overseas markets–leaving you, the individual and professional investor, to play catch-up. Exactly what are single stock futures? They are futures contracts, within the futures universe, that have shares of listed public companies as their underlying asset. In Single Stock Futures: An Investor’s Guide, author Kennedy Mitchell introduces you to single stock futures, explains how they function, and demonstrates the various ways they can be traded. This comprehensive guide clearly illustrates how investors–both individual and professional–can utilize single stock futures independently or as an application to add new dimensions to an investment portfolio. Single stock futures have the potential to improve the performance of professionals, novices, investors, and traders. Take this opportunity to find out how with Single Stock Futures: An Investor’s Guide.
Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
