Artículos relacionados a Options and Market Efficiency: A Big Data Approach

Options and Market Efficiency: A Big Data Approach - Tapa blanda

Bhattacharya, Rajeev R.

 
9786200532282: Options and Market Efficiency: A Big Data Approach
Tapa blanda
ISBN 10: 6200532281 ISBN 13: 9786200532282
Editorial: LAP LAMBERT Academic Publishing, 2020

Sinopsis

I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for efficiency of the market ecosystem consisting of the underlying stock, derivatives, and risk-free securities. I develop a theory of trading volume as a function of short sales costs, dispersion of investor valuations, float, and transaction costs, and that of market efficiency as a function of trading volume and number of analysts covering the stock. I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks, over 1996-2015. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs & constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive.

"Sinopsis" puede pertenecer a otra edición de este libro.

Editorial
LAP LAMBERT Academic Publishing
Año de publicación
2020
Idioma
Inglés
ISBN 10 
6200532281
ISBN 13 
9786200532282
Encuadernación
Tapa blanda
Número de páginas
88
Contacto del fabricante
no disponible
Persona responsable
Buchpark GmbH
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