Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Mörke, Mathis Rudolf Werner"'
Autor:
Mörke, Mathis Rudolf Werner
Die vorliegende Dissertation besteht aus fünf unabhängigen Studien. Portfolioumschichtungen von gehebelten ETFs und das Delta-Hedging von Market Maker in Optionsmärkten sind zwei unterschiedliche, aber bedeutsame Quellen für Liquiditätsanforderu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_________2::3958662ea67372801a7ca7c4938e0599
http://www.alexandria.unisg.ch/269079/
http://www.alexandria.unisg.ch/269079/
Rebalancing of leveraged ETFs (LETFs) and delta-hedging of equity options by intermediaries are two distinct and economically significant sources of liquidity demands. We show that they induce end-of-day momentum and mean-reversion in returns. While
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_________2::54f7f2544fa97901b8cc80f44a0e97b4
http://www.alexandria.unisg.ch/266653/
http://www.alexandria.unisg.ch/266653/
Leveraged ETFs and market makers who are active in option markets must ad-just imbalances arising from market movements. Establishing delta-neutrality may cause either return momentum or reversal depending on the sign and size of the imbalance vis-a-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_________2::ab64168abe04919bace9c20bbc86c1a4
http://www.alexandria.unisg.ch/264338/
http://www.alexandria.unisg.ch/264338/