Zobrazeno 1 - 10
of 61
pro vyhledávání: '"Menachem Brenner"'
Publikováno v:
Journal of Financial Markets. 63:100766
Autor:
Menachem Brenner, Yehuda Izhakian
Publikováno v:
The Quarterly Journal of Finance. 12
This paper focuses on the 2008-2020 period during which two major crises, affecting the economy and the financial markets, occurred. Between 2008 and 2020, there were less extreme tail events, including the lingering Eurozone and Greece crises. In pa
Publikováno v:
Management Science. 65:5697-5720
We quantify the pervasiveness of informed trading activity in target companies’ equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for
Publikováno v:
The Journal of Derivatives. 27:8-13
1. Menachem Brenner 2. Emanuel Derman 3. Robert Jarrow 4. Eric Reiner 1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157. TOPICS: [Options][1], [statistical methods][2], [derivatives][3] An i
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
ADB Briefs.
Autor:
Menachem Brenner, Yehuda Izhakian
Publikováno v:
Journal of Financial Economics. 130:503-531
We introduce ambiguity in conjunction with risk to study the relation between risk, ambiguity, and expected returns. Distinguishing between ambiguity and attitudes toward ambiguity, we develop an empirical methodology for measuring the degree of ambi
Publikováno v:
Journal of Economics and Business. 71:90-102
One of the commonly used estimates of expected inflation is the yield differential between nominal bonds and inflation-indexed bonds (breakeven inflation). Breakeven inflation is however a biased estimate of expected inflation because it includes an
Publikováno v:
SSRN Electronic Journal.
We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework gener