Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Chayawat Ornthanalai"'
Publikováno v:
SSRN Electronic Journal.
We study implications of asymmetries in both preferences and fundamentals for put option demand across investors and the resulting market behavior. A heterogenous-agent model populated by investors with asymmetric preferences alongside standard risk-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b566703db8628ff3be069d396aeb7c61
https://doi.org/10.2139/ssrn.3856753
https://doi.org/10.2139/ssrn.3856753
Publikováno v:
Review of Finance.
We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock market illiquidity. We find that market illiquidity is a useful economic covariate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c469f87b6b83320236b8609aab7ab81a
https://doi.org/10.1093/rof/rfaa040
https://doi.org/10.1093/rof/rfaa040
Autor:
Chayawat Ornthanalai, Michael Hasler
Publikováno v:
Journal of Monetary Economics. 99:106-123
Financial contagion occurs when return and volatility transmit between fundamentally unrelated sectors. Our equilibrium model shows that contagion arises because investors pay fluctuating attention to news. As a negative shock hits one sector, invest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a668df8acf8c3f09b38f26f167d2cd5d
https://doi.org/10.1016/j.jmoneco.2018.07.002
https://doi.org/10.1016/j.jmoneco.2018.07.002
Publikováno v:
Journal of Financial and Quantitative Analysis. 53:2619-2661
There is widespread agreement that corporate debts’ recovery rates are time varying, but empirical work in this area is limited. We show that the joint information from the term structure of senior and subordinate credit default swaps can identify
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::359b90c64cbbaf8fed659d217c495a0b
https://doi.org/10.1017/s0022109018000558
https://doi.org/10.1017/s0022109018000558
Publikováno v:
Review of Finance. 23:471-511
We find that a firm’s stock price reaction to its credit rating downgrade announcement is muted by 44–52% when credit default swaps (CDSs) trade on its debt. We explore the role of the CDS markets in providing information ex ante and relieving fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b94d94c49c4d89d2da1622ff7c3dd2c
https://doi.org/10.1093/rof/rfy033
https://doi.org/10.1093/rof/rfy033
Publikováno v:
The Journal of Derivatives. 26:109-111
Peter Christoffersen passed away on June 22, 2018 at an early age. He was one of the most prolific and gifted researchers in the area of derivatives, combining a very strong theoretical background with an appreciation for the practical details of rea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::651116fb27fa5dc0191c1e0beb2cd2cb
https://doi.org/10.3905/jod.2018.26.1.109
https://doi.org/10.3905/jod.2018.26.1.109
Publikováno v:
SSRN Electronic Journal.
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5cbcc907e243d47bd161c3071934b218
https://doi.org/10.2139/ssrn.2797308
https://doi.org/10.2139/ssrn.2797308
Publikováno v:
The Journal of Finance. 69:645-673
We demonstrate that time stamps reported in I/B/E/S for analysts� recommendations released during trading hours are systematically delayed. Using newswire-reported time stamps, we find 30-minute returns of 1.83% (-2.10%) for upgrades (downgrades),
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::14cd56c81a680001b0dcd93aa5808280
https://doi.org/10.1111/jofi.12107
https://doi.org/10.1111/jofi.12107
Publikováno v:
Christoffersen, P, Ornthanalai, C & Jacobs, K 2012, ' Dynamic jump intensities and risk premiums : Evidence from S &P500 returns and options ', Journal of Financial Economics, vol. 106, no. 3, pp. 447-472 . https://doi.org/10.1016/j.jfineco.2012.05.017
Journal of Financial Economics, 106(3), 447-472. Elsevier Science
Journal of Financial Economics, 106(3), 447-472. Elsevier Science
We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eab36630f11666b603b1a0510f09a449
https://research.tilburguniversity.edu/en/publications/969e049c-907f-4538-be65-2130290913d8
https://research.tilburguniversity.edu/en/publications/969e049c-907f-4538-be65-2130290913d8
Publikováno v:
SSRN Electronic Journal.
We show that firms gain visibility and shareholder base through economic relationships with reputable trading partners. We find that supplier firms enjoy a boost in news coverage and a subsequent reduction in advertising expenses when they disclose t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d728d5baf9a9e284a0c8b5fbfebb2b47
https://doi.org/10.2139/ssrn.2572717
https://doi.org/10.2139/ssrn.2572717