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The Apple-Cinnamon Cheerios War:Valuing New Goods,Identifying Market Power,and Economic Measurement
Apple-Cinnamon Cheerios War Valuing New Goods Identifying Market Power Economic Measurement
2015/7/15
The contribution of new goods to economic welfare is a first order question for understanding the growth of modern economies. New attention to this question has improved both our understanding of the ...
Market Implied Probability Distributions and Bayesian Skew Estimation
Market Implied Probability Distributions Bayesian Skew Estimation
2010/11/2
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
Statistical Properties of Fluctuations: A Method to Check Market Behavior
Statistical Properties Fluctuations Check Market Behavior
2010/11/1
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical ...
Book Values and Market Values of Equity and Debt
Book values mean reverting return on assets equity valuation debt valuation default option structural models voluntary liquidation
2010/9/7
This paper proposes a contingent claims model to value a .rm.s debt and equity as functions of observable book values appearing in published .nancial statements. Equity fair value critically depends o...