Search results for "Transaction"
showing 10 items of 229 documents
Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs
2005
In a market with transaction costs the option hedging is costly. The idea presented by Leland (1985) was to include the expected transaction costs in the cost of a replicating portfolio. The resulting Leland's pricing and hedging method is an adjusted Black-Scholes method where one uses a modified volatility in the Black-Scholes formulas for the option price and delta. The Leland's method has been criticized on different grounds. Despite the critique, the risk-return tradeoff of the Leland's strategy is often better than that of the Black-Scholes strategy even in the case when a hedger starts with the same initial value of a replicating portfolio. This implies that the Leland's modification…
Fooled by Data-Mining: The Real-Life Performance of Market Timing with Moving Averages
2013
In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts (see, for example, the paper by M. Faber (2007) "A Quantitative Approach to Tactical Asset Allocation" published in the Journal of Wealth Management). However, the ``too good to be true" reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic and whether investors can expect that future perfo…
Fixed Costs Per Shipment
2011
Exporting firms do not only decide how much of their products they ship abroad but also at which frequency. Doing so, they face a trade-off between saving on fixed costs per shipments (by shipping large amounts infrequently) and saving on storage costs (by delivering just in time with small and frequent shipments). The firm's optimal choice defines a mapping from size and frequency of shipments to fixed costs per shipment. We use a unique dataset of Swiss cross-border trade on the transaction level to analyze the size and shape of the underlying fixed costs. The data suggest that for the average Swiss exporter the fixed costs per shipment are economically important: 0.82 percent of the valu…
El componente de selección adversa de la horquilla de precios cotizada: una revisión de los modelos de estimación
2005
-Jose.E.Farinos@uv.es -Ana.M.Ibanez@uv.es Una de las principales preocupaciones en el área de la microestructura del mercado ha sido la estimación de los componentes no observables de la horquilla de precios a partir de las series de datos que proporcionan los mercados financieros, despertando quizá un mayor interés el de selección adversa por la implicaciones que supone la existencia del mismo. Esto ha provocado el desarrollo de numerosos modelos empíricos que, basándose en las propiedades estadísticas de las series de precios, proporcionan dichas estimaciones. La mayor disponibilidad de datos existentes en los mercados ha permitido el desarrollo en los últimos años de modelos basados en t…
Chapter 4. Transactional Avoidance, National Laws and Possible Reforms
2017
This chapter contains an overview of the different national systems on transactional avoidance. It also contains an analysis of model laws and other efforts that UNCITRAL and other international agencies have been making in order to harmonise national regulations on transactional avoidance.
Nullité de droit. Une transaction conclue en période suspecte est nulle si elle constitue un contrat commutatif déséquilibré
2007
International audience; (Paris, 5e ch. A, 28 juin 2006, n° 2003/1129, Sté Unika Computer c/ Me Souchon ès-qual.)
Quantifying Preferential Trading in the e-MID Interbank Market
2013
Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…
Leadership Team Tool for better meaning making
2016
Purpose– The purpose of this paper is to present a Leadership Team Tool for developing reflexivity in the context of leadership teams.Design/methodology/approach– The Leadership Team Tool is based on the theoretical premises of seeing communication as meaning making, and therefore placing discourse and conversation in the center of developing leadership teams.Findings– The paper illustrates how reflexivity can be facilitated through a structured process of using the Leadership Team Tool. An empirical investigation of using the tool in an authentic leadership team setting is warranted to further develop the Leadership Team Tool.Originality/value– The paper makes a practical contribution to s…
Patterns of psychological contract and their relationships to employee well-being and in-role performance at work: longitudinal evidence from univers…
2016
AbstractThis study identified patterns of psychological contract (PC) and examined how these patterns were related to employee well-being and in-role performance over time (T1–T3). PC was measured at T1 based on cross-sectional data and well-being and performance longitudinally in two consecutive years (T1−T3) among university employees. Latent profile analysis revealed six different patterns of PC at T1. These were labelled (1) strong and balanced (n = 131), (2) average and balanced (n = 382), (3) employer-focused (n = 79), (4) employee-focused (n = 59), (5) balanced transactional (n = 224) and (6) employee-focused relational (n = 322). The longitudinal findings showed that the employees i…
How does the online service level influence consumers’ purchase intentions before a transaction? A formative approach
2016
AbstractThe present paper tries to study the impact of online services level in contexts where transactions have not been done yet, through the adoption of a formative approach. In this scene, the present research considers two main dimensions of online services (pre-purchase services and transaction-related services) in a context of clothing purchasing process. Before defining the research and determining the sector to be analyzed, 7 focus groups were conducted. From the obtained conclusions, this study was carried on in the textile sector. A survey with 370 effective respondents was carried out. To measure the different concepts in the model, several scales were used based on literature p…