Essays about: "volatility anomaly"

Showing result 11 - 14 of 14 essays containing the words volatility anomaly.

  1. 11. Testing market efficiency in an ex-dividend setting - Could the market be efficient in the presence of inefficiency?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Magnus Swärdh; Gustaf Kullenberg; [2013]
    Keywords : Market efficiency; inefficiency; volatility; risk-return; compensation; Sharpe ration; Treynor’s performance index.; Business and Economics;

    Abstract : Market efficiency in an ex-dividend context is still a disputed matter in the world of finance. Even though numerous articles have been published in the area, with several different approaches, this anomaly is still contested. READ MORE

  3. 12. The day-of-the-week effect on stock returns and volatility: The case of Latin America

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Irais Perez Duran; [2010]
    Keywords : Day-of-the-week effect; Emerging markets; GARCH; EGARCH; APARCH; Business and Economics;

    Abstract : It has been found that the behavior of stock markets follow patterns that are not necessarily consistent with the Efficient Market Hypothesis. Anomalies have been classified into different groups of which calendar anomalies such as the day-of-the-week effect has been under study for many years. READ MORE

  4. 13. Predicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index option

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Blomkvist; Viktor Berggren; [2010]
    Keywords : Implied volatility; Volatility smiles; Volatility surface; Options;

    Abstract : The classic Black-Scholes model on option pricing from 1973 has been a widely debated and scrutinized theory over the past decades. Despite its proved limitations and simplifications, it remains as the most used pricing model of public traded options today. READ MORE

  5. 14. Real Exchange Rate Determinants in the Industrialised Commodity Currency Economies: An error-correction framework

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : William Speller; [2006]
    Keywords : commodity currency; real exchange rate; error-correction model;

    Abstract : Although located at far-flung points of the globe, Australia, Canada, Iceland, New Zealand and Norway have an intrinsic similarity and together represent an anomaly in international macroeconomics; they are the industrialised commodity currency economies. These five nations have advanced and developed while maintaining their traditional dependence on primary resources, thereby exposing the value of their respective currencies to the volatility of global commodity price cycles. READ MORE