In most financial markets, securities are traded in isolation. Such a disconnected market design can be inefficient if agents trade more than one security. I assess welfare effects of connecting markets by allowing orders for security to depend on prices other securities. show that everyone trades identical amounts under both structures and only the clearing perfectly correlated or all price-ta...

in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

This study examines asymmetric and the lag effects of oil price, gas exchange rate on stock performance Malaysian sub-industries. Using company-level data multi factor asset pricing models, this found that rate, common systematic risk factors such as market, size, book-to-market have significant sub-industries, but these exposures remain heterogeneous. Oil price show strong asymmetrical impacts...

ABSTRACT A dedicated investor relations (IR) function facilitates direct and ongoing dialog between management shareholders. This paper examines whether this form of engagement mitigates activism that relies upon support from other We find IR is associated with increased confidence in the board, as well a lower likelihood activism, deterrent effect becoming stronger when there are fewer frictio...

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options. Ignoring the small approximation error, the difference between the realized variance an...

Book to market (BM) has long been associated with growth opportunities. We argue that after a negative shock to earnings, the BM of the firm is mainly determined by the shortterm recovery ability of the firm. Firms that have high (low) probability to recover from a negative shock will have low (high) BM after a negative shock. We confirm this relation both analytically and empirically and show ...

Assuming a product space model for biometric and financial events, there exists a rather natural principle for the decomposition of gains of life insurance contracts into a financial and a biometric part using orthogonal projections. In a discrete time framework, the paper shows the connection between this decomposition, locally variance-optimal hedging and the so-called pooling of biometric ri...

We propose a measure of systemic risk, ∆CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict ∆CoVaR. We also provide out-of-sample forecasts of a countercyclical, forwa...

We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behavior of a series of stocks or indexes and to study a multi-firm, value-based default model. Starting from an independent Brownian world, we introduce jumps and other deviations from normality, including non-Gaussian dependence. We use a ...

This paper characterizes the relationship between entrepreneurial wealth and aggregate investment under adverse selection. Its main finding is that such a relationship need not be monotonic. In particular, three results emerge from the analysis: (i) pooling equilibria, in which investment is independent of entrepreneurial wealth, are more likely to arise when entrepreneurial wealth is relativel...