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Do Executive Stock Options Encourage Risk-Taking?
Risk and Uncertainty Motivation and Incentives Stock Options Executive Compensation
2015/5/13
Executive stock options create incentives for executives to manage firms in ways that maximize firm market value. Since options increase in value with the volatility of the underlying stock, executive...
Stock Price Fragility
Financial Liquidity Stocks Price Market Transactions Ownership Risk and Uncertainty
2015/4/22
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. An asset is fragile if its owners collectively have to buy or sell. Such assets are susceptibl...
Evolution of worldwide stock markets, correlation structure and correlation based graphs
stock exchanges The fast dynamics measure of mutual information
2011/3/31
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market in...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
stocks market asymmetries
2011/4/2
In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up.