Buscar
Mostrando ítems 1-7 de 7
Pricing levered warrants with dilution using observable variables
(Taylor & Francis, 2013)
Artículo / Artikulua,
We propose a valuation framework for pricing European call warrants on the issuer's own stock that allows for debt in the issuer firm. In contrast to other works which also price warrants with dilution issued by levered ...
Is default risk the hidden factor in momentum returns? Some empirical results
(Wiley, 2014)
Artículo / Artikulua,
This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market-based measure of default risk, ...
Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
(SAGE, 2014)
Artículo / Artikulua,
This paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are ...
Game, set and match: the favorite long-shot bias in tennis betting exchanges
(Taylor & Francis, 2016)
Artículo / Artikulua,
We test for the existence of Favorite-Longshot Bias (FLB) in tennis betting exchanges. Despite these being order-driven markets, with no direct participation from bookmakers, we have found very similar results to those ...
Hidden power of trading activity: the FLB in tennis betting exchanges
(SAGE Publications, 2017)
Artículo / Artikulua,
This paper examines the impact of trading activity on the Favourite-Longshot Bias (FLB) in tennis Betting Exchanges, using direct measures such as betting volume, average bet and standard deviation of the odds. According ...
Does default probability matter in Latin American emerging markets?
(Taylor & Francis, 2013)
Artículo / Artikulua,
We analyse the impact of default probability in four leading Latin American stock markets (Argentina, Brazil, Chile and Mexico). We find no positive default risk premium except in the case of Brazil, and in fact find a ...
Bad company. The indirect effect of differences in corporate governance in the pension plan industry
(Elsevier, 2017)
Artículo / Artikulua,
This paper analyses the role played by pension plan governance structure and how it impacts on plan fees and plan performance. The results clearly show that fees decrease significantly and performance improves when pension ...