Zobrazeno 1 - 10
of 88
pro vyhledávání: '"Pierre Collin-Dufresne"'
Publikováno v:
The Journal of Finance.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::820ea137c796f523af1929f6771d4e9e
https://doi.org/10.1111/jofi.13248
https://doi.org/10.1111/jofi.13248
Publikováno v:
Journal of Financial Economics. 139:922-949
We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and volume-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9f93287c31d3e4e7362734a7c076c1b9
https://doi.org/10.1016/j.jfineco.2020.08.009
https://doi.org/10.1016/j.jfineco.2020.08.009
Publikováno v:
Journal of Finance. 75(5):2719-2763
Despite regulatory efforts to promote all‐to‐all trading, the post–Dodd‐Frank index credit default swap market remains two‐tiered. Transaction costs are higher for dealer‐to‐client than interdealer trades, but the difference is explaine
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3788be1bc12d843d510ed185113c176
https://research.cbs.dk/en/publications/a6ddca36-3dd1-4a26-a3f0-5189b1726233
https://research.cbs.dk/en/publications/a6ddca36-3dd1-4a26-a3f0-5189b1726233
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:1945-1984
When activist shareholders file Schedule 13D filings, the average stock-price volatility drops by approximately 10%. Prior to filing days, volatility information is reflected in option prices. Using a comprehensive sample of trades by Schedule 13D fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2e3deb3d064c63d855c7205cebbf3d64
https://doi.org/10.1017/s0022109020000629
https://doi.org/10.1017/s0022109020000629
Publikováno v:
Journal of Financial Economics. 136:379-406
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e402eaaf1bb8a68988a9966b88e0a291
https://doi.org/10.1016/j.jfineco.2019.09.011
https://doi.org/10.1016/j.jfineco.2019.09.011
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef5ed2fa2073955d1f273babdfdcff16
https://doi.org/10.2139/ssrn.4294336
https://doi.org/10.2139/ssrn.4294336
Publikováno v:
SSRN Electronic Journal.
In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d6b9d70655b602ffb8ee1e812a97cc8f
https://doi.org/10.2139/ssrn.3634726
https://doi.org/10.2139/ssrn.3634726
Autor:
Jennie Bai, Pierre Collin-Dufresne
Publikováno v:
Financial Management. 48:417-439
We investigate the cross‐sectional variation in the credit default swap (CDS)‐bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff44d156daa1727c09105ea27ee36e1d
https://doi.org/10.1111/fima.12252
https://doi.org/10.1111/fima.12252
Publikováno v:
Journal of Banking & Finance. 95:128-147
We model oil price dynamics in a general equilibrium production economy with two goods: a consumption good and oil. Production of the consumption good requires drawing from oil reserves at a fixed rate. Investment necessary to replenish oil reserves
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74ab585cfa9f1e719553a183ceac9039
https://doi.org/10.1016/j.jbankfin.2018.04.001
https://doi.org/10.1016/j.jbankfin.2018.04.001
Publikováno v:
Econometrica. 86:1431-1463
We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8fdbae934992e30877491cfd8647c1fd
https://doi.org/10.3982/ecta14917
https://doi.org/10.3982/ecta14917