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165 Resources for

volatility

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Did you mean market volatility (2 results)

BNET Resources

The ABCs of Option volatility: Many option traders, however, rarely assess the market value of an option before establishing a position. This has always been a curious phenomenon to me because these same traders would hardly approach buying a home or a car without looking at the fair market price of these assets. The article...; Tags: Equade Internet, trader, volatility, asset, analysis; White papers
On the Pricing and Hedging of volatility Derivatives: This paper considers the pricing of a range of volatility derivatives, including volatility and variance swaps. Under risk-neutral valuation we provide closed form formulae for volatility-average and variance swaps for a variety of diffusion and jump-diffusion models for volatility. It describes a general partial differential equation framework for derivatives that...; Tags: Investment, University of Oxford, volatility, derivatives, pricing strategy, valuation, asset; White papers
The Biggest Management Challenges in 2008: The Biggest Management Challenges in 20082008 Management ChallengesThe two most important items on the list were saved for last. No matter what the economic, geopolitical, or technology environment doing business well, sustainably, and profitably depends for its foundation on people and the cultural and behavioral norms that connect, or separate...; Tags: Entrepreneurship, Leadership, Learning, Management Challenges; Discussion threads 2007-12-18
Assessing Risk-adjusted Rate of Return: Risk-adjusted Rate of Return is a performance measure that adjusts for the initial risk an investor takes at the time of a purchase.Every investor works with risk, but if they can quantify it, they should be able to make more informed decisions about which risks are worth taking. Calculating risk-adjusted...; Tags: Asset management, BNET Editorial, Sharpe Ratio, volatility, deviation, asset, beta, investor, investment, stock, risk, performance, security, analysis; Articles 2007-12-12
Developing a Capital Asset Pricing Model: CAPM describes the relationship between risk and expected return for an individual portfolio or security. Its underlying theory has prompted lively discussion about what “risk” actually means, asserting that only “systematic” (non-diversified) risk brings real reward to investors. Systematic risk is unavoidable, market-oriented risk that cannot be averaged out through...; Tags: Financial accounting, BNET Editorial, volatility, beta, investor, risk, investment, Capital Asset Pricing Model, theory, asset, stock, security, advisor, stock market; Articles 2007-10-12

Market volatility: How to Avoid an Ulcer: For those watching the financial markets, the last few days could leave your stomach feeling like you just got off a roller coaster. The Dow was down 226 points on Tuesday, the largest one-day decline since March, and news from the housing market today promises more volatility to come. Countrywide...; Tags: Investment, Financial accounting, Jessica Stillman, volatility, investor; Blog posts 2007-07-25
Warren Buffet Speaks: Berkshire-Hathaway held its annual shareholders meeting this past weekend, and even if you're not a hedge fund manager, Warren Buffet's opinions are still worth considering. A reporter from SeekingAlpha took some notes during the discussion, documenting the wisdom of Buffet and his right-hand man and Vice-Chairman, Charlie Munger, on issues...; Tags: Andrew Hines, Warren Buffet, global warming, acre, Charlie Munger; Blog posts 2007-05-08
FDI Determination And Corporate Tax Competition In A Volatile World: This paper investigates the role of economic and political volatility in the process of corporate tax-rate determination. The paper is based on a theoretical framework that allows for the ability of multinational firms to choose the optimal timing of foreign investment and to shift profits by transfer pricing, and provides...; Tags: Taxes, Investment, Free trade, volatility, foreign direct investment, tax, pricing strategy, analysis; White papers 2007-04-20
Does Trade Openness Increase Firm-Level volatility?: From a theoretical point of view, greater trade openness affects firm-level volatility by changing the exposure and the reaction of firms to macroeconomic shocks. The net effect is ambiguous, though. This paper provides firm-level evidence on the link between openness and volatility. Using two novel datasets on German firms, the...; Tags: Investment, Deutsche Bundesbank, volatility; White papers 2006-12-08
Work-Consumption Preferences, Cyclical Driving Forces, And Unemployment volatility: The author develops a model that accounts for the movements of unemployment in the U.S. over the past few years. The model pays close attention to evidence about preferences for work and consumption. It attributes bilateral efficiency to employment relations, with respect to the formation and continuation of matches and...; Tags: Benefits, Stanford University, unemployment, salary, volatility; White papers 2006-08-22
Outsourcing And volatility: While outsourcing of production from the U.S. to Mexico has been hailed in Mexico as a valuable engine of growth, there have been misgivings regarding the fickleness and volatility of this engine. This paper is the first in the literature to focus on the second moment properties of outsourcing. The...; Tags: University of California, Mexico, outsourcing, volatility, U.S., industry; White papers 2006-08-13
Does Export Openness Increase Firm-Level volatility?: Greater export openness affects firm-level volatility by changing the exposure and the reaction of firms to macroeconomic shocks. The net effect is ambiguous from a theoretical point of view, though. This paper provides firm-level evidence on the link between openness and volatility. Using two novel datasets on German firms, the...; Tags: Investment, volatility; White papers 2006-05-01
The Variability Of IPO Initial Returns: The monthly volatility of IPO Initial Public Offering initial returns is substantial and fluctuates dramatically over time. Moreover, the monthly volatility of initial returns is significantly positively correlated with monthly mean initial returns. This contrasts strongly with the strong negative correlation between the mean and volatility of secondary-market returns. Consistent...; Tags: Investment, Financial Planning, University of Southern California, volatility, IPO; White papers 2006-05-01
Finally, a Defined Benefit Plan Without volatility!: Creating shareholder value and mitigating risk are two important themes in pension fund management and design. The volatile accounting costs and contribution requirements of Defined Benefit DB pension plans have prompted many global companies to consider switching to Defined Contribution DC plans as the sole vehicle for employer-supported retirement income....; Tags: Workforce management, Benefits, Mercer, talent management, pension plan, pension fund, volatility, workforce, talent, accounting, shareholder, worker; White papers 2006-03-14
Exchange Rate volatility And Productivity Growth: The Role Of Financial Development: This paper offers empirical evidence that real exchange rate volatility can have a significant impact on long-term rate of productivity growth, but the effect depends critically on a country's level of financial development. For countries with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for...; Tags: Financial accounting, Harvard University, financial, analysis, window; White papers 2006-03-06
What Can Rational Investors Do About Excessive volatility and Sentiment Fluctuations?: The objective of this paper is to understand the trading strategy that would allow an investor to take advantage of "Excessive" stock price volatility and "Sentiment" fluctuations. It constructs a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile because...; Tags: Financial accounting, Investment, National Bureau of Economic Research, fluctuation, stock price, investor, equity investment, volatility, stock, equity, agent, strategy; White papers 2005-11-01
Can Financial Innovation Help to Explain the Reduced volatility of Economic Activity?: The stabilization of economic activity in the mid 1980s has received considerable attention. Research has focused primarily on the role played by milder economic shocks, improved inventory management, and better monetary policy. This paper explores another potential explanation: financial innovation. Examples of such innovation include developments in lending practices and...; Tags: Federal Reserve Board, volatility, Inventory Management, financial; White papers 2005-11-01
The Endogeneity Of The Exchange Rate As A Determinant Of FDI: A Model Of Entry And Multinational Firms: This paper argues that when the exchange rate and projected sales in the host country are jointly determined by underlying macroeconomic variables, standard regressions of FDI Foreign Direct Investment flows on both exchange rate levels and volatility are subject to bias. The results hinge on the interaction of macroeconomic uncertainty,...; Tags: Foreign direct investment (FDI), Currency & Foreign exchange, Investment, foreign direct investment, exchange rate, volatility, analysis, sales; White papers 2005-10-01
Explaining Credit Default Swap Spreads With Equity volatility and Jump Risks of Individual Firms: A structural model with stochastic volatility and jumps implies particular relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap CDS market. It uses a novel approach to identify the realized jumps of individual equity from high frequency data. The empirical results...; Tags: Investment, Bank for International Settlements, volatility, equity; White papers 2005-09-01
Investment Restrictions and Contagion in Emerging Markets: This paper analyzes an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment restrictions; and to analyze the sensitivity of the equilibrium price of an asset to shocks...; Tags: Asset management, IMF, fund manager, emerging market, asset, asset price, investor, volatility, performance, security; White papers 2005-09-01