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Options and Options Pricing

Hendrik S. Houthakker and Peter J. Williamson

in The Economics of Financial Markets

Published in print:
1996
Published Online:
November 2003
ISBN:
9780195044072
eISBN:
9780199832958
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019504407X.003.0008
Subject:
Economics and Finance, Financial Economics

The first section of this chapter discusses the basic features of option contracts, with special reference to stock options, including the way in which the contractual elements of an option (such as ... More


Information Intermediaries' Incentives and Corporate Strategy Choices in the US

Patrick Moreton and Todd Zenger

in Corporate Governance and Firm Organization: Microfoundations and Structural Forms

Published in print:
2004
Published Online:
September 2007
ISBN:
9780199269761
eISBN:
9780191710087
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199269761.003.0006
Subject:
Business and Management, Corporate Governance and Accountability

This chapter criticizes and extends current shareholder value approaches to CG by highlighting the subjective features of share prices as ‘perceptions of value’, and testing the hypothesis that ... More


Scoring at Halftime

Ignacio Palacios-Huerta

in Beautiful Game Theory: How Soccer Can Help Economics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691144023
eISBN:
9781400850310
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691144023.003.0007
Subject:
Economics and Finance, History of Economic Thought

This chapter is concerned with the idea of scoring at halftime but with a more scientific perspective. It suggests that what happens at halftime in some soccer games scores big in terms of allowing ... More


Stock Trading in Space and Time: Information and Prices around the Globe

Dariusz Wójcik

in The Global Stock Market: Issuers, Investors, and Intermediaries in an Uneven World

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199592180
eISBN:
9780191729089
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199592180.003.0005
Subject:
Business and Management, Finance, Accounting, and Banking

With continued focus on investors, Chapter 5 investigates the circulation of information on secondary stock markets, using the case study of HSBC shares traded on the exchanges in New York, London, ... More


Portfolio Investors and the German Model

Gordon L. Clark and Dariusz Wójcik

in The Geography of Finance: Corporate Governance in the Global Marketplace

Published in print:
2007
Published Online:
October 2011
ISBN:
9780199213368
eISBN:
9780191695858
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199213368.003.0003
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter combines financial data with research on the geography of the German capital market in order to assess the relationship between corporate governance and stock price volatility. It argues ... More


Noise Trader Risk in Financial Markets

Andrei Shleifer

in Inefficient Markets: An Introduction to Behavioral Finance

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198292272
eISBN:
9780191596933
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292279.003.0002
Subject:
Economics and Finance, Financial Economics

Examines how noise traders can limit arbitrage even in an environment that is very close to a textbook model. The author constructs an overlapping generation (OLG) model where noise traders generate ... More


Order Flow, Liquidity, and Securities Price Dynamics

Thierry Foucault, Marco Pagano, and Ailsa Röell

in Market Liquidity: Theory, Evidence, and Policy

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199936243
eISBN:
9780199333059
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199936243.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter provides a framework for understanding intraday stock price variations. The framework also helps to explain the factors that determine variables such as the order flow and the bid-ask ... More


Liquidity and Asset Prices

Thierry Foucault, Marco Pagano, and Ailsa Röell

in Market Liquidity: Theory, Evidence, and Policy

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199936243
eISBN:
9780199333059
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199936243.003.0010
Subject:
Economics and Finance, Financial Economics

This chapter first explains how liquidity affects the returns required by investors, and hence asset prices. It then examines how prices in illiquid markets may diverge from underlying long-run ... More


Stochastic methods in investment decision

Melvin Lax, Wei Cai, and Min Xu

in Random Processes in Physics and Finance

Published in print:
2006
Published Online:
January 2010
ISBN:
9780198567769
eISBN:
9780191718359
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198567769.003.0016
Subject:
Physics, Theoretical, Computational, and Statistical Physics

Derivative securities have a value related to the underlying security or asset. When a derivative such as a put, a forward, or future sale, is not priced correctly, one can, by making compensating ... More


Stock Market Operation and Equity Price Determination in an Economy with an Interest-Free Banking System: The Case of Iran

Karim Eslamloueyan

in Islamic Perspectives on Wealth Creation

Published in print:
2005
Published Online:
March 2012
ISBN:
9780748621002
eISBN:
9780748653096
Item type:
chapter
Publisher:
Edinburgh University Press
DOI:
10.3366/edinburgh/9780748621002.003.0013
Subject:
Society and Culture, Middle Eastern Studies

This chapter applies the Autoregressive Distributed Lag model to examine the stock price movements in the Tehran Stock Exchange (TSE) after the introduction of Islamic banking in the country. It ... More


Results of the Model Selection Approach

Michio Hatanaka

in Time-Series-Based Econometrics: Unit Roots and Co-integrations

Published in print:
1996
Published Online:
November 2003
ISBN:
9780198773535
eISBN:
9780191596360
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198773536.003.0009
Subject:
Economics and Finance, Econometrics

This chapter examines historical data and post-war quarterly data in the USA. Historical data, i.e. real GNP, real wage, real interest rate, and unemployment rate are analysed as real economic ... More


Fundamentals of Financial Markets

Didier Sornette

in Why Stock Markets Crash: Critical Events in Complex Financial Systems

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175959
eISBN:
9781400885091
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175959.003.0002
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter discusses the fundamental characteristics and properties of stock markets and the way prices vary from one instant to the next. It first introduces the standard view about price ... More


Financial markets as complex systems

NEIL F. JOHNSON, PAUL JEFFERIES, and PAK MING HUI

in Financial Market Complexity

Published in print:
2003
Published Online:
January 2010
ISBN:
9780198526650
eISBN:
9780191712104
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198526650.003.0001
Subject:
Physics, Theoretical, Computational, and Statistical Physics

This chapter begins with a discussion of how a financial market is also a complex system. It describes the elements of a complex system and how these are applicable to financials markets. It then ... More


Modeling Financial Bubbles and Market Crashes

Didier Sornette

in Why Stock Markets Crash: Critical Events in Complex Financial Systems

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175959
eISBN:
9781400885091
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175959.003.0005
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter considers two versions of a rational model of speculative bubbles and stock market crashes. According to the first version, stock market prices are driven by the crash hazard that may ... More


Stock Jobbing: Print and Prices on Exchange Alley

in Indian Ink: Script and Print in the Making of the English East India Company

Published in print:
2007
Published Online:
March 2013
ISBN:
9780226620411
eISBN:
9780226620428
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226620428.003.0005
Subject:
History, Imperialism and Colonialism

In the summer of 1682 Robert Boyle received a series of letters from the depths of rural Somerset. They were sent by the Reverend John Beale, an active member of the Royal Society and a long-term ... More


The Japanese Asset Price Bubble: A Heterogeneous Approach

Robert Barsky

in Japan's Bubble, Deflation, and Long-term Stagnation

Published in print:
2010
Published Online:
August 2013
ISBN:
9780262014892
eISBN:
9780262289467
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262014892.003.0002
Subject:
Economics and Finance, Econometrics

This chapter examines the evolution of asset prices, particularly stock prices, in Japan, discussing in particular the so-called Japanese Bubble, whereby asset prices soared in 1985–1989 before ... More


Traditional Stockholders: The Night of the Living Dead

Lawrence E. Mitchell

in Corporate Irresponsibility: America`s Newest Export

Published in print:
2001
Published Online:
October 2013
ISBN:
9780300090239
eISBN:
9780300137767
Item type:
chapter
Publisher:
Yale University Press
DOI:
10.12987/yale/9780300090239.003.0007
Subject:
Economics and Finance, Development, Growth, and Environmental

This chapter analyzes the relationship between corporate irresponsibility and traditional stockholders, and discusses a study which reports that there are approximately 50,000 people engaged in day ... More


Inflation Illusion, Credit, and Asset Prices

Monika Piazzesi and Martin Schneider

in Asset Prices and Monetary Policy

Published in print:
2008
Published Online:
February 2013
ISBN:
9780226092119
eISBN:
9780226092126
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226092126.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter considers the effect of inflation illusion on asset prices in a general equilibrium model with heterogeneous agents. The model predicts a nonmonotonic relationship between house ... More


Why Stock Markets Crash: Critical Events in Complex Financial Systems

Didier Sornette

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175959
eISBN:
9781400885091
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175959.001.0001
Subject:
Business and Management, Finance, Accounting, and Banking

The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as ... More


Churning Bubbles

Franklin Allen and Gary Gorton

in New Perspectives on Asset Price Bubbles

Published in print:
2012
Published Online:
April 2015
ISBN:
9780199844333
eISBN:
9780190258504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:osobl/9780199844333.003.0002
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter examines whether stock prices are determined by fundamentals or whether “bubbles” can exist. After considering a stylized model of a stock market in which there are three traders, the ... More


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