Zobrazeno 1 - 10
of 80
pro vyhledávání: '"Peter Van Tassel"'
Autor:
ANNA KOVNER, PETER VAN TASSEL
Publikováno v:
Journal of Money, Credit and Banking. 54:1313-1367
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bd174bcb21fc6fd3019965d48f34632
https://doi.org/10.1111/jmcb.12875
https://doi.org/10.1111/jmcb.12875
Autor:
William Diamond, Peter Van Tassel
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7bf0dc43d5a17f0c9c3e355e26bd247b
https://doi.org/10.2139/ssrn.4048083
https://doi.org/10.2139/ssrn.4048083
Autor:
Peter Van Tassel
Publikováno v:
SSRN Electronic Journal.
This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4545d1fc67fa08d91fd62fa6db66d209
https://doi.org/10.2139/ssrn.3751612
https://doi.org/10.2139/ssrn.3751612
Autor:
Peter Van Tassel
Publikováno v:
SSRN Electronic Journal.
This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities, and produ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0170b07c2228e2f728511eeed7f41193
https://doi.org/10.2139/ssrn.3259918
https://doi.org/10.2139/ssrn.3259918
Autor:
Peter Van Tassel, Anna Kovner
Publikováno v:
SSRN Electronic Journal.
We examine the effects of regulatory changes on banks’ cost of capital and lending. Since the passage of the Dodd-Frank Act, the value-weighted CAPM cost of capital for banks has averaged 10.5 percent and declined by more than 4 percent on a withi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::40ded49331c8f83952a769d83c54adb4
https://doi.org/10.2139/ssrn.3199941
https://doi.org/10.2139/ssrn.3199941
Publikováno v:
SSRN Electronic Journal.
We argue that post-crisis banking regulations pass through from regulated institutions to unregulated arbitrageurs. We document that, once post-crisis regulations bind post 2014, hedge funds use a larger number of prime brokers and diversify away fro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::445cc42a1b1c9185d7e44f4a2342fa07
https://doi.org/10.2139/ssrn.3200041
https://doi.org/10.2139/ssrn.3200041
Autor:
Moskowitz, Tobias J.1 tobias.moskowitz@yale.edu, Ross, Chase P.2 chase.p.ross@frb.gov, Ross, Sharon Y.2 sharon.y.ross@frb.gov, Vasudevan, Kaushik3 kvasude@purdue.edu
Publikováno v:
Working Papers: U.S. Federal Reserve Board's Finance & Economic Discussion Series. Aug2024, p1-93. 93p.
Autor:
FLECKENSTEIN, MATTHIAS (AUTHOR), LONGSTAFF, FRANCIS A. (AUTHOR) francis.longstaff@anderson.ucla.edu
Publikováno v:
Journal of Finance (John Wiley & Sons, Inc.). Aug2024, Vol. 79 Issue 4, p2797-2844. 48p.
Autor:
AUGUSTIN, PATRICK (AUTHOR) Patrick.Augustin@mcgill.ca, CHERNOV, MIKHAIL (AUTHOR), SCHMID, LUKAS (AUTHOR), SONG, DONGHO (AUTHOR)
Publikováno v:
Journal of Finance (John Wiley & Sons, Inc.). Jun2024, Vol. 79 Issue 3, p2077-2114. 38p.