Short-term options: Clienteles, market segmentation, and event trading
نویسندگان
چکیده
منابع مشابه
Market Participation and Dividend Clienteles
Models of dividend preferences (clienteles) can lead to biased results if they ignore the connection between market participation and asset allocation decisions. Using data from the Consumer Expenditure Survey (CEX), I jointly model and estimate these investment decisions with a two-step procedure due to Heckman (1977). The estimated coefficients support the idea that market frictions and behav...
متن کاملShort-term market reaction after trading halts in Chinese stock market
In this paper, we study the dynamics of absolute return, trading volume and bid–ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We dealwith all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange fromAugust 2009 to 2011.We find that absolute return, trading volume, and in ...
متن کاملEXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET
Uncertainty inherent in the financial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper defines the expected payoof trading strategies in a fuzzy financial market within the framewor...
متن کاملAsymmetric Information, Perceived Risk and Trading Patterns: The Options Market
Asymmetric information models are tested using options implied volatility and volume of trade in eight international markets. We explore the relations between the trading break time duration, the quality of public information, the discretion of options liquidity traders to postpone their trades, and the interday and intraday implied volatility and volume of trade in options. Although asymmetric...
متن کاملThe Beauty Contest and Short-Term Trading∗
Short-termism need not breed informational price inefficiency even when generating Beauty Contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning to reasses...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2015
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2015.09.001