The objective of this study is to analyse the theoretical pricing wind power derivatives, which important for renewable energy risk management but has a problem in due illiquidity assets and show application theory practical implementation pricing. We make three contributions literature. First, best our knowledge, we are first conduct detailed econometric analysis futures underlying, i.e., elec...

We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when bonds fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we find that the discounts amplify through feedback loops, where cheaper, less-liquid securities flow to invest...

Structural models of default risk price firm’s equity and debt as contingent claims written on the firm’s underlying assets. However, the empirical literature has detected that observed credit spreads, particularly for safer firms, tend to be on average above their structural models’ predictions (the credit spread puzzle). This paper investigates possible explanations for the credit spread puzz...

In the stock market, return reversal occurs when investors sell overbought stocks and buy oversold stocks, reversing the stocks' price trends. In this paper, we develop a new method to identify key drivers of return reversal by incorporating a comprehensive set of factors derived from different economic theories into one unified dynamical Bayesian factor graph. We then use the model to depict f...

In this paper we analysed liquidity of the Croatian stock market. Low level of liquidity is one of the key problem areas facing this small market. As the measures of liquidity we used the Zero Rates return by Lesmond et al. (1999), Price Pressure of non-trading as in Bekaert et al. (2007), and Turnover. For calculating the Zero Rates return, and Price Pressure measures we used prices of all sto...

For decades, performance comparisons between real estate and financial assets have repeatedly indicated that private real estate investment exhibits significantly higher risk-adjusted returns than publicly traded financial assets such as common stocks. That is, there is an apparent “real estate risk premium puzzle.” In this paper, we find that the seemingly superior risk-adjusted returns of rea...