نتایج جستجو برای: mispricing
تعداد نتایج: 337 فیلتر نتایج به سال:
In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used. Particular attention is given to the mispricing generated by the misspecification of a jumpdiffusion process for the underlying asset as a pu...
In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used. Particular attention is given to the mispricing generated by the misspecification of a jumpdiffusion process for the underlying asset as a pu...
We study a financial market where asymmetric information, mispricing and jumps exist, and link the random optimal portfolios of informed and uninformed investors to the deterministic optimal portfolio of the symmetric market, where no mispricing exists. In particular, we show that under quadratic approximation, the expectation of the random optimal portfolio in the asymmetric market is equal to...
This study examines the relative importance of underpricing as a signal of firm value, underwriter certification, subscription levels of shares on offer, and uncertainty surrounding firm value on mispricing of initial public offerings. A sample of 100 Singaporean initial public offerings (IPOs) during the period 1998-2000 indicates that subscription levels of shares on offer have the most signi...
Our model shows that the discovery of an anomaly reduces its magnitude, regardless of whether the anomaly is due to risk or mispricing. After the discovery, the return from the anomaly becomes more correlated with the returns from other existing anomalies. While riskand mispricing-based anomalies have similar implications for asset prices, they have sharply different implications on investors’ ...
Abstract This article examines whether and how stock mispricing can affect the probability of CEO turnover. In a sample 1,573 US public firms, I find that, after controlling for fundamental performance, 1-standard-deviation negative uninformative price shock increases likelihood turnover by 10%. The mispricing-turnover sensitivity is stronger at firms with an independent board, difference-in-di...
We document that hedge funds nurture mispricing in the Chinese financial market. examine relationship between fund holdings and degree of mispricing, assuming funds’ stock are mainly for arbitrage not hedging. also this with without short-selling restrictions. Hedge intentionally hold overvalued stocks. Their trades, which generate an abnormal return 1.78% per month, impede dissipation misprici...
We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times–Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over high (minute-by-minute) and low (daily) frequencies. Contrary to other studies we show explicitly that f...
Mispricing (the difference between prices and their underlying fundamental values) is an important characteristic of markets. The literature on the topic consists of many different measures. This state of affairs is unsatisfactory, since different measures may produce different results. Stöckl et al. (2010) partially address this problem by proposing (among other things) that measures of mispri...
We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean–reverting Ornstein–Uhlenbeck process. Optimal portfolios and maximum expected log–linear utilities from terminal wealth for informed and uninformed investors are derived. We obtain analogous but more g...
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