Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Institution
Articles 1 - 3 of 3
Full-Text Articles in Finance and Financial Management
New Factor Structure Models And Idiosyncratic Volatility, Ossama Elhadary
New Factor Structure Models And Idiosyncratic Volatility, Ossama Elhadary
Dissertations, Theses, and Capstone Projects
In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered around the industry groups and the exchanges. Idiosyncratic volatility calculated using the new factor structure models tend to be smaller than those calculated using the traditional Fama-French model. By sorting portfolios using the idiosyncratic volatility computed using the new factor models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.
Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace
Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace
CMC Senior Theses
Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around …
Quantifying The Announcement Effects In The U.S. Lumber Market, Zarina Mamadalievna Ismailova
Quantifying The Announcement Effects In The U.S. Lumber Market, Zarina Mamadalievna Ismailova
Graduate Theses, Dissertations, and Problem Reports
The impact of public reports on price fluctuations has been widely investigated in many commodity markets, but little attention has been paid to the lumber market. In this thesis, we examine the impact of two housing market reports, namely the New Residential Construction (Housing Starts) and the New Residential Sales reports, on the U.S. lumber futures market. Our results suggest that the housing starts report does indeed affect lumber market volatility, while the New Residential sales report exerts a minor impact on lumber price volatility. Price volatility is measured by changes future contract prices for lumber. We further find that …