Quant Turk

Abstract

This paper is to investigate the impacts of derivative warrants issuance from January,1997 to April, 2001 on both price and trading volumes of underlying stock around theannouncement date in Taiwan stock market. The ndings on price and trading volumesbehaviors suggest that there may be substantial purchases of the underlying stock by theissuers at one day before the announcement date of derivative warrants issuance for meetingthe hedging demand, and there may be substantial purchases of the underlying stock by theissuer/informed-trader for the last 10 minutes prior to market closure on the announcementdate of derivative warrants issuance for meeting price manipulating/information leaking de-mands. Nevertheless, the ndings on price and trading volumes also suggest that theremay convey an unfavorable signal about the reactions to the issuers’ perception of futureperformance of the underlying stock by the public investors during two days after the an-nouncement date of derivative warrants issuance, which underlying stock underperforms thewhole market.

Chung-Chu Chuang

Aletheia University R.O.C.

Shuo-Li Chuang

National Taiwan University R.O.C.

M16N12

ABSTRACT  Are Tall People Less Risk Averse than Others?  This paper examines the question of whether risk aversion of prime-age workers is negatively correlated with human height to a statistically significant degree. A variety of estimation methods, tests and specifications yield robust results that permit one to answer this question in the affirmative. Hausman-Taylor panel estimates, however, reveal that height effects disappear if personality traits and skills, parents’ behaviour, and interactions between environment and individual abilities appear simultaneously. Height is a good proxy for these influences if they are not observable. Not only one factor but a combination of several traits and interaction effects can describe the time-invariant individual effect in a panel model of risk attitude.

JEL Classification: D90, J13, J24

Keywords: height, risk preference

Corresponding author:

Olaf Hübler

Institute of Empirical Economic Research Leibniz University of Hannover

Königsworther Platz 1 D-30167 Hannover Germany

SSRN-id2039567

Abstract
Asset management industry employs army of researchers to analyze the equity markets in order toconstruct portfolios which capture the market trends. In the light of this theme, main aim of this study isto probe the efficiency of equity analyst market views with the help of Black Litterman optimizationmodel to compare with Mean variance optimization model.

Mean Variance Model vs Black Litterman Model on ISE 100

Abstract

The main objective of this paper is to propose an alternative valuation framework for pricingforeign currency and cross-currency options, which is capable of  accommodating existing empiricalregularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rateand the foreign asset price, and generalize the local risk-neutral valuation principle for pricingderivatives. We define an equilibrium price measure in the two-country economy and derive thelocally risk-neutralized GARCH processes for the exchange rate and the foreign asset price. Foreigncurrency options and cross-currency options are then valued using Monte Carlo simulations. Oursetup accommodates rich empirical regularities such as stochastic volatility, fat tailed distributionsand leverage effect extensively documented for financial data series.  Numerical results show  thatour proposed model exhibits properties that are consistent with the documented empirical regularitiesfor foreign currency options and quanto options.

Pricing Foreign Currency and Cross-Currency Options Under GARCH-Duan