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I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such...
In this study, we separate the entire period into three different sub-periods, the periods before the crisis, during the crisis, and after the crisis. We then apply the four metrics, as well as the factor spanning tests by Fama and French (J Financ Econ 116(1):1–22, 2015; J Financ Econ...
This paper analyzes the effect on the price of the risky asset for both global and marginal changes, in dependent, independent, exogenous and endogenous risks. We find that global changes induce riskier behavior and decrease market prices when the utility function exhibits generalized relative...
Operational management has been gaining increasing importance in the financial industry and firms make substantial investments in operations management systems to reduce operational risk. Using a standard model of operational risk, it can be shown that pair trade profits reveal differences in...
This paper discusses the pricing methodology of the temperature index insurance based on spatial temporal modelling of temperature. The crucial problem here is the location of the potential insurance buyer relative to the station where index is calculated. Since the observed temperatures at...
The main purpose of this paper is to select the most appropriate technique predicting precisely the exchange rate risk from three main approaches, namely, the Historical Simulation approach, the Variance–Covariance approach and the Monte Carlo Simulation approach. Our main finding shows that the...
The article Some Further Results on the Tempered Multistable Approach, written by Olivier Le Courtois, was originally published electronically on the publisher’s internet portal (currently SpringerLink) on 11 April 2018 without open access.
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