Browse ORBilu by Open Access
- What it is and what it isn't
- Green Road / Gold Road?
- Ready to Publish. Now What?
- How can I support the OA movement?
- Where can I learn more?
ORBilu is a project developed by
   Heterogeneity of Beliefs and Trade in Experimental Asset MarketsNeugebauer, Tibor  ; ; et alin Journal of Financial and Quantitative Analysis (2019), 54 Detailed reference viewed: 63 (7 UL)Investor Sentiment and EmploymentMontone, Maurizio ; in Journal of Financial and Quantitative Analysis (2019) We develop a multi-country model with moral hazard and noise traders, and show that investor sentiment should affect employment growth both domestically and abroad. Using a large sample of international ... [more ▼] We develop a multi-country model with moral hazard and noise traders, and show that investor sentiment should affect employment growth both domestically and abroad. Using a large sample of international industry-level data, we find strong support for the model's predictions. We show that US investor sentiment has a positive association with labor market conditions around the world, due to spillover effects as well as foreign direct investments from the US. We also find that US sentiment amplifies the negative effect of local financial crises on job losses, which supports the idea that financial development has a "dark side". [less ▲] Detailed reference viewed: 71 (3 UL) Early exercise decision in american options with dividends, stochastic volatility, and jumpsCosma, Antonio ; ; et alin Journal of Financial and Quantitative Analysis (2019), 0(0), 1-26 Using a fast numerical technique, we investigate a large database of investors' suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The ... [more ▼] Using a fast numerical technique, we investigate a large database of investors' suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modeling of the discrete dividend is essential for a correct calculation of the early exercise boundary, as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black--Scholes--Merton benchmark cuts the amount lost by investors through suboptimal exercise by one-quarter. The remaining three-quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise. [less ▲] Detailed reference viewed: 24 (2 UL)Contingent Capital: The Case of COERCsWolff, Christian ; Vermaelen, Theo ; in Journal of Financial and Quantitative Analysis (2014) Detailed reference viewed: 26 (5 UL)Improving Portfolio Selection Using Option-Implied Volatility and Skewness; Plyakha, Yuliya ; et alin Journal of Financial and Quantitative Analysis (2013), 48(06), 1813-1845 Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects ... [more ▼] Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful to improve their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe ratio, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility. Using option-implied correlation does not improve any of the metrics. Using option-implied volatility, risk premium, and skewness to adjust expected returns leads to a substantial improvement in the Sharpe ratio, even after prohibiting short sales and accounting for transaction costs. [less ▲] Detailed reference viewed: 145 (3 UL) Corporate Governance, Finance, and the Real SectorSuominen, Matti ; in JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2013), 47 Detailed reference viewed: 68 (4 UL) |
||
