... and their characteristics. The paper then examines the key factors and findings of the existing studies on, respectively, the pricing efficiency, the tracking ability/performance, and the impact on underlying securities of exchange‐traded funds. Findings Although there has been a substantial amount of research...

...Peter Miu; Narat Charupat; Stoyu I. Ivanov Purpose The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis. Design/methodology/approach The DIA is designed to be one hundredth of the DJIA, the SPY...

... the prices of the funds' underlying securities more efficient. Hedge funds and other traders need to borrow stocks and bonds from time to time to execute their strategies. To do so, they often turn to mutual funds and ETFs. In return for lending their holdings, the funds pick up a bit of extra income...

...Peter Miu; Narat Charupat; Dennis Y. Chung; Karel Hrazdil Purpose The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design...

... on the degree of SEO underpricing. Three‐stage least square estimation was used to address the possible endogeneity of pricing and earnings smoothing. Findings Smooth earnings performance resulting from discretionary accruals is negatively related to SEO underpricing and improves earnings informativeness...

...K. Stephen Haggard; H. Douglas Witte Purpose The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach The authors suggest the use of an F‐test to examine mean stationarity of asset pricing effects...

...Shuangzhe Liu; Milind Sathye; Takeaki Kariya; Fumiaki Ushiyama; Stanley R. Pliska Purpose The purpose of this paper is to generalize the one‐factor mortgage‐backed securities (MBS)‐pricing model proposed by Kariya and Kobayashi to a three‐factor model. The authors describe prepayment behavior due...

...Susana Yu; Richard Lord; Jeff Whitworth; Yi Zhang Purpose The purpose of this paper is to show how recent capital gains affect ex‐dividend stock pricing. Traditional models assume that investors are motivated to sell a stock before its ex‐date to avoid paying higher taxes on dividends. However...

... for the period of May 2003 to August 2007. We chose these 11 variables based on the previous evidence on the importance in the US stock market. Our paper contributes to a growing literature on the impact of macroeconomic news on asset prices. Vassalou (2003) finds that GDP news is a predictor of cross...

...Monzurul Hoque; David Basterfield; Thomas Bundt; Kevin Nordt Purpose The purpose of this paper is to explore risk management models applied to electric power markets. Several Value‐at‐Risk (VaR) models are applied to day‐ahead forward contract electric power price data to see which, if any, could...

... with the price of the underlying asset, and may be significantly smaller than that of a non‐vulnerable put. Because of deadweight costs associated with bankruptcy, delta and gamma are undefined for some values of the underlying asset. Rho may be considerably higher while vega may be smaller than for non...

... to the evaluation of leasing. Design/methodology/approach The evaluation approach is based on a model that takes into account both the real factors (the market value of the asset) and the financial aspects of the lease (interest rates on the market). The leasing price is arrived at by taking the sum...

.../methodology/approach The evaluation of the lease contract is achieved by applying the theory of option pricing as the lessor is the writer of a call option on the leased asset. A sensitivity analysis on some parameters is performed. Findings The paper disentangles the components of the profit of a lease...

... the period 1996‐2000. Performance of the IPOs is measured in terms of initial market return, cumulative 6‐ and 12‐month returns and 1‐, 2‐ and 3‐year holding period returns. The performance of the IPOs is measured relative to the market index, namely All Share Price Index (ASPI) and is calculated using daily...

... used in international empirical studies: the raw returns and the excess or adjusted returns. The raw returns are those that compare the price of the share(i) at the time λ and at time x, where (x  − λ) is the number of the days between the last day of the offering and the first...

... purpose is to present broad lessons from the experiences of these countries that could be helpful to understand the behavior of stock markets under severe financial crisis. Several new results are found: (1) There were local price bubbles prior to the market crash in each country. (2) Price momentum may...

... of the Official Cash Rate in March 1999. A related finding is that the size of the term premium is correlated with the volatility of short‐term rates. © Emerald Group Publishing Limited 2004 Pricing Money Financing New Zealand Australia Managerial Finance 36 Estimates of time-varying term premia...

...Joseph T. Salerno The theory of monopoly price was originally formulated by Carl Menger at the inception of the marginalist revolution in 1871 and represented the dominant theoretical approach to monopoly until the 1930s. Despite its impeccable doctrinal pedigree and lengthy dominance, the theory...

...Jui‐Chi Huang; Tantatape Brahmasrene This study examines the impact of expectations on the market share mechanism. The dynamic strategic pricing behaviors in the short‐run and the long‐run are also explored. The exchange rate expectations are incorporated into a switching cost model via the method...

... into growth or value portfolios. Explains the methodology and presents the results, which show that value IPOs outperform growth IPOs, while both outperform the market. Finds their cumulative market adjusted return (averaged at 41.7 per cent) positively correlated with book‐to‐market equity, earnings‐to‐price...