Download or read book The Market for Crash Risk written by David S. Bates and published by . This book was released on 2010 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the equilibrium when negative stock market jumps (crashes) can occur, and investors have heterogeneous attitudes towards crash risk. The less crash-averse insure the more crash-averse through the options markets that dynamically complete the economy. The resulting equilibrium is compared with various option pricing anomalies reported in the literature: the tendency of stock index options to overpredict volatility and jump risk, the Jackwerth (2000) implicit pricing kernel puzzle, and the stochastic evolution of option prices. The specification of crash aversion is compatible with the static option pricing puzzles, while heterogeneity partially explains the dynamic puzzles. Heterogeneity also magnifies substantially the stock market impact of adverse news about fundamentals.

Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Download or read book Statistics of Extremes written by Jan Beirlant and published by John Wiley & Sons. This book was released on 2006-03-17 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.

Download or read book Why Stock Markets Crash written by Didier Sornette and published by Princeton University Press. This book was released on 2017-03-21 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.

Download or read book AI and Financial Markets written by Shigeyuki Hamori and published by MDPI. This book was released on 2020-07-01 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) is regarded as the science and technology for producing an intelligent machine, particularly, an intelligent computer program. Machine learning is an approach to realizing AI comprising a collection of statistical algorithms, of which deep learning is one such example. Due to the rapid development of computer technology, AI has been actively explored for a variety of academic and practical purposes in the context of financial markets. This book focuses on the broad topic of “AI and Financial Markets”, and includes novel research associated with this topic. The book includes contributions on the application of machine learning, agent-based artificial market simulation, and other related skills to the analysis of various aspects of financial markets.

Download or read book Money Greed and Risk written by Charles R. Morris and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume chronicles the evolution of modern financial markets against the backdrop of some of the finance world's most infamous crises. Financial periods are intricately and historically examined, simplifying the financial instruments and techniques so that even the non-financial reader can identify the pattern that Morris uncovers in the lead up to a crisis.

Download or read book Real Time Risk written by Irene Aldridge and published by John Wiley & Sons. This book was released on 2017-02-28 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk management solutions for today's high-speed investing environment Real-Time Risk is the first book to show regular, institutional, and quantitative investors how to navigate intraday threats and stay on-course. The FinTech revolution has brought massive changes to the way investing is done. Trading happens in microsecond time frames, and while risks are emerging faster and in greater volume than ever before, traditional risk management approaches are too slow to be relevant. This book describes market microstructure and modern risks, and presents a new way of thinking about risk management in today's high-speed world. Accessible, straightforward explanations shed light on little-understood topics, and expert guidance helps investors protect themselves from new threats. The discussion dissects FinTech innovation to highlight the ongoing disruption, and to establish a toolkit of approaches for analyzing flash crashes, aggressive high frequency trading, and other specific aspects of the market. Today's investors face an environment in which computers and infrastructure merge, regulations allow dozens of exchanges to coexist, and globalized business facilitates round-the-clock deals. This book shows you how to navigate today's investing environment safely and profitably, with the latest in risk-management thinking. Discover risk management that works within micro-second trading Understand the nature and impact of real-time risk, and how to protect yourself Learn why flash crashes happen, and how to mitigate damage in advance Examine the FinTech disruption to established business models and practices When technology collided with investing, the boom created stratospheric amounts of data that allows us to plumb untapped depths and discover solutions that were unimaginable 20 years ago. Real-Time Risk describes these solutions, and provides practical guidance for today's savvy investor.

Download or read book Time Varying Crash Risk written by and published by . This book was released on 2016 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S.

Download or read book Capitalizing China written by Joseph P. H. Fan and published by University of Chicago Press. This book was released on 2013 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: La 4e de couverture indique : "Despite a vast accumulation of private capital, China is not embracing capitalism. Deceptively familiar capitalist features disguise the profoundly unfamiliar foundations of "market socialism with Chinese characteristics." The Chinese Communist Party (CCP), by controlling the career advancement of all senior personnel in all regulatory agencies, all state-owned enterprises (SOEs), and virtually all major financial institutions state-owned enterprises (SOEs), and senior Party positions in all but the smallest non-SOE enterprises, retains sole possession of Lenin's Commanding Heights. The chapters in this volume examine China's high savings rate, banking system, financial markets, financial regulations, corporate governance, and public finances; and consider policy alternatives the CCP might consider if its goal is China's elevation into the ranks of high income countries."

Download or read book Trading Risk written by Kenneth L. Grant and published by John Wiley & Sons. This book was released on 2011-01-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revolutionary techniques that traders can implement to improve profits and avoid losses No trader, professional or individual, can afford not to have a solid risk management program integrated into his or her trading system. But finding a precise mathematical model to replace subjective decision-making processes is a challenge. Traditionally, risk management has focused solely on loss avoidance, but in Trading Risk, hedge fund risk manager Kenneth Grant presents some-thing completely new—how to manage a portfolio to minimize risk and increase profits by putting more capital at risk. Trading Risk details a risk management program that can help both money managers and individual traders evaluate which elements in a portfolio are working efficiently and which aren’t. By illustrating an extremely simple set of statistical and arithmetic tools this book can help readers enhance their performance in many financial markets. Kenneth L.Grant is Cheyne’s Global Risk Manager, and is the Managing Member for Cheyne Capital, LLC, the firm’s U.S. arm. Mr. Grant is a pioneer in the field of hedge fund risk management and capital allocation. Before joining Cheyne, he created risk control programs at two of the world’s leading hedge funds, Tudor Investments and SAC Capital, where he was eventually promoted to the title of Chief Investment Strategist. Mr. Grant holds a Bachelor of Science in Economics and Mathematics from the University of Wisconsin, an MA in Economics from Columbia University, and an MBA from the University of Chicago Graduate School of Business.

Download or read book Applied Asset and Risk Management written by Marcus Schulmerich and published by Springer. This book was released on 2014-10-20 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor’s and master’s students in this field as well as for young professionals in the asset management industry. A key part of this book is the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. An Excel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com.

Download or read book Corporate Social Responsibility written by Andrew Crane and published by Routledge. This book was released on 2014 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: As a relatively young subject matter, corporate social responsibility has unsurprisingly developed and evolved in numerous ways since the first edition of this textbook was published. Retaining the features which made the first edition a top selling text in the field, the new edition continues to be the only textbook available which provides a ready-made, enhanced course pack for CSR classes. Authoritative editor introductions provide accessible entry points to the subjects covered - an approach which is particularly suited to advanced undergraduate and postgraduate teaching that emphasises a research-led approach. New case studies are integrated throughout the text to enable students to think and analyze the subject from every angle. The entire textbook reflects the global nature of CSR as a discipline and further pedagogical features include chapter learning outcomes; study questions; ‘challenges for practice’ boxes and additional ‘further reading’ features at the end of each chapter. This highly rated textbook now also benefits from a regularly updated companion website which features a brand new 'CSR Case Club' presenting students and lecturers with further case suggestions with which to enhance learning; lecture slides; updates from the popular Crane and Matten blog, links to further reading and career sites, YouTube clips and suggested answers to study questions. An Ivey CaseMate has also been created for this book at https://www.iveycases.com/CaseMateBookDetail.aspx?id=335.

Download or read book Stock Price Crash Risk written by Ahsan Habib and published by . This book was released on 2017 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We survey the burgeoning literature on the determinants of future stock price crash risk in the US, as well as in countries outside the US. Stock price crash risk, a manifestation of extreme negative values in the distribution of firm-specific returns, has attracted considerable research interests. According to Jin and Myers (2006), when cash flow is lower than investors expect, managers hide the bad news in an effort to protect their jobs. However, when the accumulated bad news finally crosses a tipping point, managers release all the bad news at once, which then results in a stock price crash. We synthesize a vast body of literature on the determinants of crash risk, identify weaknesses, and offer future research opportunities. We categorize the determinants into: (i) financial reporting and corporate disclosures, (ii) managerial incentives and managerial characteristics, (iii) capital market transactions, (iv) corporate governance mechanisms, and (v) informal institutional mechanisms. Despite a large body of research into the determinants of crash risk, very little research attention has been directed towards understanding the consequences of stock price crash.

Download or read book Crash Risk and Seasoned Equity Offerings written by Rodney D. Boehme and published by . This book was released on 2018 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a large sample of U.S. firms during 1987-2011, we find robust evidence that the issuance of seasoned equity is associated with abnormally high future stock price crash risk. The association between seasoned equity offerings and crash risk is stronger among offerings that involve the sale of secondary shares (existing shares sold by insiders or large blockholders). We also find that recent seasoned equity issuers are far less likely to experience sudden positive price jumps relative to firms that have not recently issued equity. Our findings of elevated crash risk and diminished jump risk, when taken together, are consistent with a heightened propensity for firms to hoard bad news but not good news when issuing equity. In analyses of open market insider trading prior to crashes, we find that net selling by CEOs and CFOs is abnormally high in years succeeded by crashes relative to years not succeeded by crashes and is especially high among seasoned equity issuers that subsequently crash, which is consistent with crashes, especially those that occur after SEOs, resulting from bad news hoarding.

Download or read book Institutional Ownership and Stock Price Crash Risk written by and published by GRIN Verlag. This book was released on 2024-07-19 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2024 in the subject Business economics - Investment and Finance, grade: 1,7, University of Hamburg, language: English, abstract: This study uses OLS regressions to analyze the impact of institutional ownership (IO) investment horizons on stock price synchronicity and crash risk for a sample of U.S. companies. Two main hypotheses are tested: (1) long-term (short-term) IO (LTIO) (STIO) are negatively (positively) related to stock price synchronicity, and (2) long-term (short-term) IO are negatively (positively) related stock price crash risk. Stock price synchronicity (SYNCH) measures how much firm-specific returns align with overall market returns, while crash risk (NCSKEW, DUVOL, COUNT) indicates the likelihood of a sudden, significant price drop. The theory posits that short-term investors, more prone to sell shares, provide weaker oversight, giving managers more freedom to influence cash flows and increasing synchronicity. In contrast, long-term investors establish stronger management relationships, reducing synchronicity through enhanced oversight. The findings reveal that both long-term and short-term IO positively impact synchronicity, contradicting the hypothesis for long-term IO. This aligns with literature suggesting institutional investors use superior information mainly for trading rather than management engagement. For crash risk, results support the agency theory: long-term IO is associated with reduced crash risk due to better monitoring, while short-term IO correlates with higher crash risk due to frequent trading and weaker oversight. These findings align with prior research, indicating that bad news is disclosed under long-term monitoring, causing abrupt price drops. During the 2008 financial crisis, average crash risk was significantly higher, especially for financial firms. The interaction between IO horizons and the crisis suggests complex dynamics needing further study, particularly the negative interaction of long-term and aggregated IO during recessions. Robustness checks, including firm fixed-effects regressions and variable changes, confirm primary findings but suggest cautious interpretation for long-term IO results. Limitations include a relatively short observation period (2000-2017), potential measurement biases in tax avoidance proxies (long-run cash effective tax rate (LRETR)), and unaddressed endogeneity concerns. Future research should explore evolving ownership structures, corporate social responsibility, and impacts of recent disruptions like the COVID-19 pandemic on crash risk.

Download or read book The Risk of Economic Crisis written by Martin Feldstein and published by University of Chicago Press. This book was released on 1991-08-13 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on a special National Bureau of Economic Research conference held in Oct. 1989. Includes bibliographical references and indexes.

Download or read book A Wealth of Common Sense written by Ben Carlson and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple guide to a smarter strategy for the individual investor A Wealth of Common Sense sheds a refreshing light on investing, and shows you how a simplicity-based framework can lead to better investment decisions. The financial market is a complex system, but that doesn't mean it requires a complex strategy; in fact, this false premise is the driving force behind many investors' market "mistakes." Information is important, but understanding and perspective are the keys to better decision-making. This book describes the proper way to view the markets and your portfolio, and show you the simple strategies that make investing more profitable, less confusing, and less time-consuming. Without the burden of short-term performance benchmarks, individual investors have the advantage of focusing on the long view, and the freedom to construct the kind of portfolio that will serve their investment goals best. This book proves how complex strategies essentially waste these advantages, and provides an alternative game plan for those ready to simplify. Complexity is often used as a mechanism for talking investors into unnecessary purchases, when all most need is a deeper understanding of conventional options. This book explains which issues you actually should pay attention to, and which ones are simply used for an illusion of intelligence and control. Keep up with—or beat—professional money managers Exploit stock market volatility to your utmost advantage Learn where advisors and consultants fit into smart strategy Build a portfolio that makes sense for your particular situation You don't have to outsmart the market if you can simply outperform it. Cut through the confusion and noise and focus on what actually matters. A Wealth of Common Sense clears the air, and gives you the insight you need to become a smarter, more successful investor.