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Search Results for Collection: Conference or Workshop Item (Seminar, Speech or Other Presentation)
Now showing items 1-5 of 5
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(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)In the context of a cross-sectional regression framework, we explore whether liquidity is priced in an Australian setting, using monthly data over the period 1990 to 1999. Our major findings are as follows. First, we find ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)This paper provides an exposition of the nature, means of estimation and uses of Financial Conditions Indexes (FCIs) and their relationship to the more common Monetary Conditions Indexes (MCIs) that are used by market ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)This paper analyzes the risk characteristics for various hedge fund strategies specializing in fixed income instruments. Because fixed income hedge fund strategies have exceptionally high autocorrelations in reported returns ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)Documenting spread and combination trading in a major options market for the first time, we find that spreads and combinations collectively account for over 55% of large trades (trades of 100 contracts or more) in the ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)Theoretical research argues that using derivative instruments for risk management can add value to a firm if there are capital market imperfections such as costs associated with financial distress, progressivity in tax ...
Now showing items 1-5 of 5