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Dec 20

Selected Papers of Second Day Conference 12152011

Posted by abiao at 01:38 | Review | Comments(0) | Reads(4917)
Benchmark Replication Portfolio Strategies: a novel approach to the benchmark replication problem which uses a minimum tracking error variance as an objective subject to a target expected outperformance.

Options Trading and the Extent that Stock Prices Lead Future Earnings Information:  Findings in this study support the proposition that options trading results in more current information that is relevant for predicting future earnings being impounded into stock prices.

The Lure of the Slant: Analyst Optimism and Asset Prices: This paper studies the effect of analyst optimism on asset prices.

Are Co-Skewness and Co-Kurtosis Factors Priced?: The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model.

On the Returns to Small Growth Stocks: The results in this paper provide fresh evidence on the role of skewness in asset pricing as well as new perspectives on the well-known size and book-to-market effects of stock returns.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence: We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price.

Investor Sentiment and Momentum and Contrarian Trading Strategies: Mutual Fund Evidence: sentiment beta captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders.

A full list of the presented papers can be downloaded at Conference papers.

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