Download or read book Three Essays on the Econometrics of Options Markets written by Zdravetz N. Lazarov and published by . This book was released on 2004 with total page 76 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 Essays on the Econometrics of Option Pricing written by Evgenii Vladimirov (Ph. D.) and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation is a collection of three essays that delve into the econometrics of option pricing. The primary objective of these essays is to develop and deploy diverse econometric techniques that enable the accurate extraction of valuable information embedded in option prices. Chapter 2 investigates jump contagion between international stock markets using options data. It introduces a multivariate option pricing model that assesses the contagious effects of market shocks. Chapter 3 tackles the challenge of estimating continuous-time option pricing models. It proposes a new filtering and estimation method for affine jump-diffusion models, enhancing computational efficiency and implementation ease. Finally, Chapter 4 develops a unified framework for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities."--

Download or read book Three Essays in Financial Econometrics written by Gang Xu and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis documents the research and findings in the following three related areas of financial econometrics: The first essay examines whether volatility contains information to predict the likelihood of a price jump during the next trading day. It is motivated by the theoretical model of Bansal & Shaliastovich (2008) who develop a long-run learning model, arguing that market volatility should be able to predict the likelihood of jumps. I use S&P 500 futures prices and extensions of the GARCH jump model of Maheu & McCurdy (2004) to relate jump probabilities to conditional volatility. Since volatility is a latent variable, which can be measured using different variables, I consider predictions based upon squared daily return, at-the-money implied volatility, model-free im- plied volatility and high-frequency realized volatility. I find evidence that volatility can predict jump likelihood and the best predictive variable is the model-free implied volatility: which is constructed using cross-section of option prices. Therefore, this thesis contributes to the current literature by documenting the information efficiency of option prices when predicting the future likelihood of jumps. In addition. I also develop a new approach based on Poisson regression which compares the jump intensity obtained from the GARCH jump model with the intraday jump numbers counted using the method of Andersen et al. (2007b). I find the two measures of jumps match fairly well with each other in the period from 1990 to 1997. However, any such relationship seems to disappear in the later period from 1998 to 2004. The second essay is motivated by the affine jump-diffusion model of Duffie et al. (2000), which allows jump intensity to be an affine function of state variables. I examine whether volatility can predict the intensity of price jumps in stochastic volatility jump models, estimated using Markov Chain Monte Carlo simulation. Comparing implied volatility with high-frequency realized volatility, I find allowing the jump intensity to be an affine function of model-free implied volatility yields the best model, based on either the Deviance Information Criterion or on diagnostic tests. Further comparison are made for candidate AR(l) process which specify the stochastic volatility. I find a jump model with the log variance an AR( 1) process performs better than a jump model with Ornstein-Uhlenbeck stochastic volatility. In a Monte Carlo simulation, I find the Deviance Information Criterion is a reliable criterion to differentiate between competing equity price dynamics when there are price jumps and volatility is stochastic. In addition to examining univariate equity return models, in the third essay I also develop a bivariate equity return model which simultaneously captures time-varying correlation and volatility spillovers in the international equity markets. This model is calibrated using the weekly equity index returns from the US. UK, Germany, India and Brazil stock markets and it is compared with simplier model specifications. I find evidence that supports time varying correlation between equity markets in both developed and developing economics. How- ever, the volatility spillovers mainly exist from US equity returns to equity returns in other economies. This thesis concludes with a short discussion of its limitations and future research directions.

Download or read book Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior written by and published by . This book was released on 2008 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the State of Economic Science written by Tjalling C. Koopmans and published by Martino Fine Books. This book was released on 2013-01 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: 2012 Reprint of 1957 Edition. Exact facsimile of the original edition, not reproduced with Optical Recognition Software. Tjalling Charles Koopmans (1910 - 1985) was the joint winner, with Leonid Kantorovich, of the 1975 Nobel Memorial Prize in Economic Sciences. In 1944 Koopmans joined the Cowles Commission for Research in Economics at the University of Chicago, where he extended his technique to a wide variety of economic problems. When the commission was relocated to Yale University in 1955, Koopmans moved with it, becoming professor of economics at Yale. He wrote a widely read book on the methodology of economic analysis, "Three Essays on the State of Economic Science" in 1957. Essays are: Allocation of Resources and the Price System The Construction of Economic Knowledge The Interaction of Tools and Problems in Economics

Download or read book Three Essays in the Use of Option Pricing Theory written by Jeremy Joseph Evnine and published by . This book was released on 1983 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Effects of Options Markets on the Underlying Markets written by Brenden James Mason and published by . This book was released on 2018 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in applied financial economics. The unifying theme is the use of financial regulation as quasi-experiments to understand the interrelationship between derivatives and the underlying assets. The first two essays use different quasi-experimental econometric techniques to answer the same research question: how does option listing affect the return volatility of the underlying stock? This question is difficult to answer empirically because being listed on an options exchange is not random. Volatility is one of the dimensions along which the options exchanges make their listing decisions. This selection bias confounds any causal effect that option listing may have. What is more, the options exchanges may list along unobservable dimensions. Such omitted variable bias can also confound any causal effect of option listing. My first essay overcomes these two biases by exploiting the exogenous variation in option listing that is created by the SEC-imposed option listing standards. Specifically, the SEC mandates that a stock must meet certain criteria in the underlying market before it can trade on an options exchange. For example, a stock needs to trade a total of 2.4 million shares over the previous 12 months before it can be listed. Since 2.4 million is an arbitrary number, stocks that are "just above" the 2.4 million threshold will be identical to stocks that are "just below" it, the sole difference being their probability of option listing. Accordingly, I use the 2.4 million threshold as an instrument for option listing in a fuzzy regression discontinuity design. I find that option listing causes a modest decrease in underlying volatility, a result that corroborates many previous empirical studies. My second essay attempts to estimate the effect of option listing for stocks that are "far away from" the 2.4 million threshold. I overcome the aforementioned omitted variable bias by fully exploiting the panel nature of the data. I control for the unobserved heterogeneity across stocks by implementing a two-way fixed effects model. Unlike most previous studies, I control for individual-level fixed effects at the firm level rather than at the industry level. My results show that option listing is associated with a decrease in volatility. Importantly, these results are only statistically significant in a model with firm-level fixed effects; they are insignificant with industry-level fixed effects. My third essay is a policy evaluation of the SEC's Penny Pilot Program, a mandated decrease of the option tick size for various equity options classes. Several financial professionals claimed that this decrease would drive institutional investors out of the exchange-traded options market, channeling them into the opaque, over-the-counter (OTC) options market. I empirically test an implication of this hypothesis: if institutional investors have fled the exchange-traded options market for the OTC market, then it may take longer for information to be impounded into a stock's price. Using the `price delay' measure of Hou and Moskowitz (2005), I test whether stocks become less price efficient as a result of being included in the Penny Pilot Program. I perform this test using firm-level fixed effects on all classes that were included in the program. I confirm these results with synthetic control experiments for the classes included in Phase I of the Penny Pilot Program. Generally, I find no change in price efficiency of the underlying stocks, which suggests that the decrease in option tick size did not materially erode the price discovery that takes place in the exchange-traded equity options market. I also find evidence that the decrease in option tick size caused an increase in short selling for the piloted stocks.

Download or read book Buprestidae I written by and published by . This book was released on 1926 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Economics written by Kunal Sachdeva and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation presents three essays in financial economics. The essays discuss how market frictions can affect outcomes in the real economy, the returns earned by investors, and the investment decisions made by asset managers. The first essay studies how the liquidity of assets can affect outcomes in the real economy. In particular, it focuses on the life settlement market to show how increased liquidity of life insurance contracts are causally linked to greater life longevity. The second essay studies how inside investments relate to managerial compensation and fund performance. The essay focuses on the decreasing returns to scale to arbitrage strategies and the profit maximizing motive of asset managers as the central friction affecting return. The final essay analyzes the role that information acquisition and communication have on the choice to be a principal, agent, or both. The results emphasize how the choice to be either a principal or an agent strictly dominate the mixed strategy of being both, in a highly generalized model.

Download or read book Three Essays on the Economic Role of Stock Index Futures Markets written by Anne Fremault and published by . This book was released on 1990 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Intertemporal Choice written by John Keith Horowitz and published by . This book was released on 1988 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Theory of Money and Financial Institutions written by Martin Shubik and published by MIT Press. This book was released on 1999 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume in a three-volume exposition of Shubik's vision of "mathematical institutional economics" explores a one-period approach to economic exchange with money, debt, and bankruptcy. This is the first volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"--a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy. Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.

Download or read book Market Institutions written by Garrett H. Milam and published by . This book was released on 2002 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Inference from Option Markets written by Asad Dossani and published by . This book was released on 2018 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters that analyze the economic information contained in option markets. Option markets are forward looking, and thus contain valuable insight into the beliefs of financial market participants. They can be used to study risk premia and to make forecasts. The Chapter 1, Central Bank Tone and Currency Risk Premia, asks how the tone of central bank press conferences impacts risk premia in the currency market. First, I find that option implied risk aversion increases when central banks are hawkish, and decreases when central banks are dovish. Second, I find that hawkish central bank tone predicts higher future variance risk premia, and vice versa. One explanation for this result is that the tone of a press conference indicates to investors the likelihood of central bank intervention, conditional on the state of the economy. Chapter 2, Monetary Stimulus and Perception of Risk, investigates the relationship between monetary stimulus and the perception of risk in financial markets, and how this varies across asset classes. First, I document a positive relationship between monetary stimulus and the perception of risk in equity, commodity, and currency markets. I document a negative relationship between monetary stimulus and the perception of risk in bond markets. Second, I establish a cointegrating relationship between monetary stimulus and implied volatility, indicating a positive long run equilibrium relationship in the levels of monetary stimulus and implied volatility. This relationship is present across asset classes. Third, I document the link between monetary stimulus and expected inflation, a possible mechanism by which monetary stimulus affects the perception of risk across financial markets. Chapter 3, Option Augmented Density Forecasts of Market Return with Monotone Pricing Kernel, considers consider an option augmented density forecast of the market return obtained by transforming a baseline density forecast estimated from past excess returns so as to monotonize its ratio with a risk neutral density estimated from current option prices. We find that monotonizing the pricing kernel leads to a modest improvement in the calibration of density forecasts.

Download or read book Essays in Applied Econometrics and Finance written by and published by . This book was released on 2015 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis comprises three essays. The first two chapters address topics in commodity markets and their interaction with derivative and other asset markets. The third essay deals with the effects to and from fiscal policy that arise due to the structure of the relationship between central and regional governments. Finance and applied econometrics constitute the common thread for these articles. The first two take a financial economics and financial econometrics perspective, while the third essay addresses a topic of public finance with an empirical approach. The first chapter offers an explanation for volatile oil prices. Using information from options and futures I document economically large jump tail premia in the crude oil market which can be related to investors' "fear". These premia vary substantially over time and significantly forecast crude oil futures and spot returns. The results suggest that oil futures prices overshoot (undershoot) in the presence of upside (downside) tail fears in order to allow for smaller (larger) risk premia thereafter. The second essay relates the comovement of stock and commodity prices to increased participation of financial investors in commodity future markets. I present a partial equilibrium model in which demand for futures by financial investors transmits stock market shocks into commodity prices via a time varying risk premium. Empirically, I find that commodity index investors react systematically to stock market shocks by adjusting their commodity risk exposure. In the third chapter, joint with Abián García Rodríguez, we investigate the relationship between fiscal decentralization - the share of government spending and taxation carried out at the subnational level - and fiscal policy effects. Using a cross-section of countries, we document a positive relationship between decentralization and the effectiveness of fiscal policy as measured by the size of fiscal multipliers. We also present a case study for the decentralization process in Spain and find that it had a positive impact on output growth.

Download or read book Three Essays in Financial Economics written by Mark W. Westerfield and published by . This book was released on 2004 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) left on the table" due to underpricing in the IPO allocation is not capital the firm could have raised; instead, it is the empirical regularity associated with obtaining a high quality aftermarket, high equity valuation, and higher proceeds to the issuer. We examine the principal-agent problem in a simple continuous time framework when potential agents have heterogeneous priors. We find that the principal prefers agents with priors very different from his own. The principal will create a contract that includes side-bets to exploit gains from trade created by heterogeneous priors despite the distortionary effect on effort choice. In a semi-dynamic labor market, the principal can optimally choose to churn his employees to prevent them from learning about project profitability, even when agents' skills are increasing with job tenure. We develop several empirical predictions, and relate our model to the labor market in the financial industry.