Search results for Higher Volatility with Lower Credit Spreads: the Puzzle ... Volatility with Lower Credit Spreads: the Puzzle and Its Solution ... capital structure model by using Merton’s (1969)

The Puzzle and Its Solution Aleksey Semenov Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy under the Executive Committee of the

Higher Volatility with Lower Credit Spreads: the Puzzle and Its Solution Aleksey Semenov∗∗ Columbia Business School August 16, 2016 Abstract This paper explains the puzzling…

8/7/2019 A Theory of Volatility Spreads 1/29Working Paper No. RHS-06-028January 2006A Theory of Volatility SpreadsGurdip BakshiDilip MadanThis Paper can be d ownloa ded without…

Fundamentals Support Low Volatility, Tight Spreads (Capital Market Research) (Weekly Market Outlook)CAPI TAL MAR KETS R ESEAR CH Moody’s Analytics markets and distributes

BIS Papers No 2 197 Trading volumes, volatility and spreads in FX markets: evidence from emerging market countries Gabriele Galati, Bank for International Settlements Abstract…

Volatility Spreads and Earnings Announcement Returns Yigit Atilgan� Abstract Prior research documents that volatility spreads predict stock returns. If the trading activity…

Realized Volatility, Liquidity, and Corporate Yield Spreads Marco Rossi ∗ December 7, 2009 Abstract This study revisits the relative role of credit risk and illiquidity…

Implied Volatility Spreads and Expected Market Returns Yigit Atilgan Turan G Bali and K Ozgur Demirtas� Abstract This paper investigates the intertemporal relation between…

by* First Draft: October 1, 2012 This Draft: January 9, 2013 Abstract Short selling, as compared to purchasing, faces greater risks and other potential impediments. This

Michael Curran† Villanova University Ryan Zalla‡ sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio

BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati BANK…

BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES, VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati…

Trading volumes, volatility and spreads in foreign exchange markets: evidence from emerging market countries - BIS Working Papers No. 93 - October 2000EVIDENCE FROM EMERGING

Unied Framework Redouane Elkamhi We demonstrate that incorporating severe economic conditions in a consumption- based equilibrium model can jointly explain empirical facts

Idiosyncratic volatility has an impact on corporate bond spreads: Empirical evidence from Chinese bond markets SU-SHENG WANG1 JIE-MIN HUANG1 KAI CHANG2 JIE-YONG HUANG3 XI…

Option Pit Volatility: The Option Pit Method Using Volatility to Trade Direction Single Options, Spreads, Flyâs What You Will Learn Value of Mean Reversion buy/sell option…

Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms∗ Benjamin Yibin Zhang† Hao Zhou‡ Haibin Zhu§ First Draft: December…

Resolving the Price Volatility Puzzle: The Role of Earnings∗ Gil Sadka† First version: November 23, 2003 This version: January 26, 2005 Abstract In an efficient market,…

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes Michael W Brandt Duke University and NBER Alon Brav Duke University and NBER John R Graham Duke University…

Electronic copy available at: http://ssrn.com/abstract=2266039 THE VOLATILITY OF BID-ASK SPREADS By Benjamin M. Blaua and Ryan J. Whitbyb Abstract: This paper provides evidence…