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.

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.

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:

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:

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:

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:

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:

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.

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:

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:

Download or read book Three Essays on Derivatives Markets written by Qianyin Shan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Three Essays in Empirical Asset Pricing written by Thomas A. Jacobs and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

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:

Download or read book Three Essays on the Use of Derivatives by U S Commercial Banks written by David Alan Carter and published by . This book was released on 1996 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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: