Search results for " pricing"
showing 10 items of 146 documents
Only Pricing Policy Matters
2017
This paper aims to determine which factors affect e-commerce conversion rate, which is the relationship between website visitors and purchasers.
Building a Consistent Pricing Model from Observed Option Prices
1999
This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps. The theoretical properties are studied. An easy procedure to check for arbitrage opportunities in market data is proved and then used to ensure the feasibility of our approach. The implementation is discussed: testing on market data reveals a U-shaped form for the "local volatility" depending on the state and, surprisingly, a large probability for strong price movements.
Is the Ghosh model interesting?
2009
International audience; The overall value of the Ghosh model is appraised. Its treatment of quantities and prices is scrutinized by examining the variant with data in quantities and prices, and the variant with data in value and price indexes. The methodology involves returning to the accounting equations and shows that: (i) the Ghosh model offers solutions of limited interest, being incapable of providing prices or price indexes separately from quantities; (ii) what is taken to be the equation of Ghosh's value model is actually that of Ghosh's physical model; (iii) the Ghosh model may serve for cost-push exercises, but the dual of the Leontief model performs the same task in a much simpler…
Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets
2018
This paper shows that a link between the conditional mean and conditional volatility of any factor-mimicking portfolio in the foreign exchange (FX) market must exist if the proposed portfolio-based currency factor is priced and the pricing kernel has a linear factor structure. Thereby, this paper tests whether the carry risk factor and currency momentum are priced risk factors. Surprisingly, the carry risk factor does not meet the necessary conditions consistent with being a priced risk factor, whereas currency momentum indeed meets those criteria. The findings also indicate that the relation between the conditional mean and conditional risk is moreover economically reasonable for the curre…
Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market
2016
This paper studies the option-like behavior of popular momentum strategies implemented in foreign exchange markets. The results confirm those of Daniel and Moskowitz (2013) in finding strong option-like behavior for both momentum measures, based on the cumulative return from 12 and 6 months prior to the formation date to one month prior to the formation date. Surprisingly, there is no such evidence for the popular momentum strategy accounting for a one-month formation period.
Return Dispersion and Cross-Sectional Asset Pricing Anomalies
2015
Recent research finds that cross-sectional return dispersion provides a risk-based explanation for some investment anomalies, including accrual, investment, and momentum strategies. This study extends the analyses of return dispersion to a broad set of anomalies by testing whether the state of return dispersion is associated with anomalous returns. Empirical results for 12 well-known anomalies indicate a robust link between good and bad states of return dispersion and most anomalies. Also, return dispersion helps to explain a number anomalies regardless of their association with investor sentiment. We conclude that market risk related to return dispersion plays an important role in many inv…
Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk
2017
This is the first study that investigates the profitability of Barroso and Santa-Clara’s (2015) risk managing approach for George and Hwang’s (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases, and the downside risk remarkably decreases. Even after controlling for the spread of the traditional 52-week high industry momentum strategy in association with standard risk-factors, the risk-managed version generates economically and statistically significant payoffs. Notably, the risk-managed strategy is partially explained by changes in cross-sectional return dispersion, whereas the traditiona…
Risk-Managed Industry Momentum and Momentum Crashes
2016
This is the first paper that investigates Barosso and Santa-Clara’s (2015) risk-managed momentum strategy in an industry momentum setting. We investigate traditional momentum strategies and Novy-Marx (2012) strategy. We also explore the impact of different variance forecast horizons on the average payoffs. We find that risk-managed industry momentum payoffs generate considerably higher returns than plain momentum strategies. Notably, risk-managed payoffs increase linearly as the time window for variance forecasts are contracted which is consistent for all different strategies.
Option-Implied Volatility-Managed Asset Pricing Risk Factors and Resurrection of the Value Factor
2019
Option-implied volatility-managed risk factor models produce higher maximum squared Sharpe ratios than the recently proposed six-factor model, which is used as a benchmark model in this study. A model that incorporates option-implied volatility-managed risk factors based on dynamic scaling factors that systematically overestimate the expected market risk, as measured by the VIX, is superior to other asset pricing model specifications. After the death of the value factor has been repeatedly declared, it is surprising news that multivariate spanning regressions reveal that both the option-implied volatility-managed momentum and value factor are the only option-implied volatility-managed risk …
Optimal pricing strategies in real-time electricity pricing environments: An Italian case study
2015
The energy market has changed radically over the last decade, mainly due to an increased penetration of renewable energies. Now the end users have directly access to the energy market and can actively take part to the electricity market. Electricity customers can indeed modify their behavior through Demand Response (DR), namely by means of pricing strategies that support a change in the end-users habits. This can be accomplished through a 'loads aggregator', a third party that collects the requests and signals for Active Demand-based services coming from the markets and the different power system participants. This paper describes a new framework able to optimally select the real-time prici…