scholarly journals The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics

2021 ◽  
Author(s):  
Andrea Barbon ◽  
Heiner Beckmeyer ◽  
Andrea Buraschi ◽  
Mathis Moerke
Keyword(s):  
Price Dynamics ◽  
Leveraged Etfs ◽  
Option Market

Explaining House Price Dynamics: Isolating the Role of Nonfundamentals

2015 ◽  
Vol 47 (S1) ◽  
pp. 87-125 ◽  
Author(s):  
DAVID C. LING ◽  
JOSEPH T.L. OOI ◽  
THAO T.T. LE
Keyword(s):  
House Price ◽  
Price Dynamics ◽  
House Price Dynamics

scholarly journals Informational content of options around analyst recommendations

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Qingxia Wang ◽  
Robert Faff ◽  
Min Zhu
Keyword(s):  
Stock Returns ◽  
Probit Model ◽  
Analyst Recommendations ◽  
Content Type ◽  
Put Options ◽  
Model Free ◽  
Risk Managers ◽  
New Evidence ◽  
Option Market

PurposeMore studies have investigated the relation between option measures and stock returns during scheduled corporate events. This study adds to the literature and investigates the informational role of options concerning stock returns following unscheduled corporate news events. The authors focus on individual analysts' recommendation changes rather than consensus revisions, as the recommendation consensus might discard a large amount of potentially valuable information in the aggregation process.Design/methodology/approachBased on the econometric model, the authors follow Bakshi et al. (2003) to construct the model-free option implied measures. The authors further decompose the implied option variance into upside and downside components. In such a way, the different informational roles of call and put options can be distinguished. A variety of regression analyses are conducted to examine the predictive power of option implied measures, and the ordered probit model is used to test the tipping hypothesis of analyst recommendations.FindingsThis study’s results show that the option market impounds the “valuable” firm-specific news; thus, the pre-event option market is strongly related to stock returns around recommendations even though recommendation changes are largely “unscheduled”. At the same time, these results suggest that upside (good) and downside (bad) implied volatilities contain distinctive information on subsequent stock returns.Originality/valueThis study provides new evidence that an increase in upside (downside) volatility around analyst recommendation changes would increase the probability that analysts upgrade (downgrade) the stock. The findings provide implications for investors and risk managers in making investment decisions.

scholarly journals What Drives Urban Consumption in Mainland China? The Role of Property Price Dynamics

2011 ◽  
Author(s):  
Yu-Fu Chen ◽  
Michael Funke ◽  
Aaron N. Mehrotra
Keyword(s):  
Mainland China ◽  
Price Dynamics ◽  
Property Price ◽  
Urban Consumption

scholarly journals Gold price dynamics and the role of uncertainty

2018 ◽  
Vol 19 (4) ◽  
pp. 663-681 ◽  
Author(s):  
Joscha Beckmann ◽  
Theo Berger ◽  
Robert Czudaj
Keyword(s):  
Gold Price ◽  
Price Dynamics

scholarly journals The changing role of house price dynamics over the business cycle

2012 ◽  
Vol 29 (5) ◽  
pp. 1960-1967 ◽  
Author(s):  
Gilles Dufrénot ◽  
Sheheryar Malik
Keyword(s):  
Business Cycle ◽  
House Price ◽  
Price Dynamics ◽  
House Price Dynamics ◽  
The Business Cycle ◽  
Changing Role

scholarly journals The Role of Speculation in Competitive Price-Dynamics

1979 ◽  
Vol 46 (4) ◽  
pp. 613 ◽  
Author(s):  
Peter Howitt
Keyword(s):  
Price Dynamics ◽  
Competitive Price
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