WebDownloadable! Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset … Webthe underlying asset price. The feedback effect literature highlights the impact of dynamic hedging behavior of option dealers on the underlying asset’s equilibrium price and volatility. These strategies prove generally destabilising as option dealers are supposed to be net option writers so that they are buying in bullish spot market
Feedback Efiects and Asset Prices - Olin Business …
WebFeb 1, 2024 · We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the … WebWe study how passive investing affects asset prices. Flows into passive funds raise disproportionately the prices of the largest stocks in the index, while also making them more ... To illustrate the feedback effect, we introduce noise traders, and later return to a CAPM world without them. Suppose that a stock, e.g., Tesla, is in high demand ... idle shutdown override
Kathy Yuan - London School of Economics
Webthe market’s risky asset portfolio from the variation of the market’s aggregate financial leverage. Returns on the risky asset portfolio generate stochastic volatil-ities from both a diffusion risk source with volatility feedback effect and a jump risk source with self-exciting behavior. The market’s aggregate financial leverage, WebJan 1, 2010 · Feedback efiects from asset prices to flrm cash ∞ows have been empirically docu- mented. ... The empirical results suggest the existence of a negative and significant volatility feedback effect ... WebDec 1, 2002 · In this paper we model how the transaction of derivatives affects the price process of the underlying asset, considering the existence of a few agents with market power and a population of... is schwab money market fund insured