Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Christopher Hessel"'
Publikováno v:
The Journal of Trading. 13:69-79
This article examines the strategy of shorting a pair of leveraged ETFs and inverse leveraged ETFs of the same index. The profitability of this strategy does not depend on the direction of the underlying benchmark. The authors derive an approximation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0e4f0e04acf02a28fb1cd0bd42e09fa0
https://doi.org/10.3905/jot.2018.13.2.069
https://doi.org/10.3905/jot.2018.13.2.069
Autor:
Avner Wolf, Christopher Hessel
Publikováno v:
Journal of Mathematical Finance. :214-224
This paper presents a new option that can be used by agents for managing foreign exchange risk. Unlike the Garman Kolhagen model [1], (GK), this paper presents a new model with a preset exchange rate (PE), that allows the agent to take advantage of t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f48585c94bb4d5c71ed47d4ff73a7ead
https://doi.org/10.4236/jmf.2012.23024
https://doi.org/10.4236/jmf.2012.23024
Autor:
Jun Wang, Christopher Hessel
Publikováno v:
Quantitative Finance. 10:545-554
This paper investigates the changes in credit spread volatility during 1993–2001. We find that the credit spreads between junk-grade corporate bonds and Treasury bonds were significantly more volatile in the second half of this period when credit-r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a8fbab5f8230896633dae254b81af89e
https://doi.org/10.1080/14697680903067112
https://doi.org/10.1080/14697680903067112
Publikováno v:
SSRN Electronic Journal.
Future Economic Information Embedded in High Yield Spreads The financial accelerator mechanism, also called credit channel theory (Bernanke and Gertler [1995] and Bernanke and Gertler, and Gilchrist [1996]), assumes external financing is more costly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5f2cc2b38ffff76f0dc752d1139113a9
https://doi.org/10.2139/ssrn.3371916
https://doi.org/10.2139/ssrn.3371916
Publikováno v:
Managerial Finance. 21:37-49
This study examines the relationship between U.S. monetary policy changes and financial market reactions; in particular, the fluctuations in interest rates and exchange rates for the U.S., Britain, Canada, France, Germany, and Japan are related to ch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ee6c314baf7c6b36044728f8a78e9d7
https://doi.org/10.1108/eb018532
https://doi.org/10.1108/eb018532
Autor:
Morton Norman, Christopher Hessel
Publikováno v:
Journal of Accounting, Auditing & Finance. 7:313-330
Institutional investors are important both because of the magnitude of their holdings and trading activity and because their decisions to buy or sell can signal a good takeover candidate as well as in some instances facilitate the takeover. However,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb170dc854a73174b00bb36159f07fee
https://doi.org/10.1177/0148558x9200700305
https://doi.org/10.1177/0148558x9200700305
Publikováno v:
SSRN Electronic Journal.
Portfolios weighted by fundamental measures of company size, such as assets, dividends, sales, earnings, and employees, have recently attracted a lot of attention. Pioneering research has showed that these fundamental value–weighted portfolios, esp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::748a98112ddbf21d98fb827bcb58a81d
https://doi.org/10.2139/ssrn.1372942
https://doi.org/10.2139/ssrn.1372942
Autor:
Jun Wang, Christopher Hessel
Publikováno v:
SSRN Electronic Journal.
This paper investigates the change of the credit spread volatility from 1993 to 2001. We find that credit spreads between junk grade corporate bonds and Treasury bond are significantly more volatile in the second half of this period when credit relat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::21f894eb221b2b28a23c649fca7347b8
https://doi.org/10.2139/ssrn.929125
https://doi.org/10.2139/ssrn.929125
Autor:
Christopher Hessel, Lucy T. Huffman
Publikováno v:
The Journal of Finance. 36:1127-1142
Investments in default-free bonds can be insulated from financial loss due to interest rate changes (via additive shock) by a process known as immunization. The literature on this process ignores taxes. This manuscript focuses on three issues. The fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dba6e2226db06757efc8dcc2cfaef66b
https://doi.org/10.1111/j.1540-6261.1981.tb01080.x
https://doi.org/10.1111/j.1540-6261.1981.tb01080.x
Autor:
Lucy T. Huffman, Christopher Hessel
Publikováno v:
Journal of Financial Research. 6:213-215
In this paper, the immunization process is extended to protect after-tax income, and the duration indices for after-tax immunization are derived. Selection of the appropriate index depends on individual investor differences in tax regulations. Attent
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fbfa8a8621f1ce631414ab5ffd6b67a0
https://doi.org/10.1111/j.1475-6803.1983.tb00329.x
https://doi.org/10.1111/j.1475-6803.1983.tb00329.x