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Статті в журналах з теми "Short-selling risk"
ENGELBERG, JOSEPH E., ADAM V. REED, and MATTHEW C. RINGGENBERG. "Short-Selling Risk." Journal of Finance 73, no. 2 (February 13, 2018): 755–86. http://dx.doi.org/10.1111/jofi.12601.
Повний текст джерелаAng (Chewie), Tze Chuan, Aziz Hayat, and Bob Li. "Short-selling risk in Australia." Pacific-Basin Finance Journal 63 (October 2020): 101406. http://dx.doi.org/10.1016/j.pacfin.2020.101406.
Повний текст джерелаChung, Jay M., and Shu-Feng Wang. "Short selling and stock price crash risk." Journal of Derivatives and Quantitative Studies 28, no. 2 (July 13, 2020): 63–76. http://dx.doi.org/10.1108/jdqs-04-2020-0005.
Повний текст джерелаRichardson, Scott, Pedro A. C. Saffi, and Kari Sigurdsson. "Deleveraging Risk." Journal of Financial and Quantitative Analysis 52, no. 6 (December 2017): 2491–522. http://dx.doi.org/10.1017/s0022109017001077.
Повний текст джерелаHrapovic, Kenan. "Short selling and securities lending/borrowing." Ekonomski anali 56, no. 189 (2011): 117–30. http://dx.doi.org/10.2298/eka1189117h.
Повний текст джерелаLewis, Thomas. "ESG METRICS IN FIRM RISK ASSESSMENT: EVIDENCE FROM SHORT SELLING." Journal of Academy of Business and Economics 20, no. 3 (October 1, 2020): 117–30. http://dx.doi.org/10.18374/jabe-20-3.9.
Повний текст джерелаDezfouli, Kaveh Moradi, and Lawrence Kryzanowski. "Derivatives, Short Selling and US Equity and Bond Mutual Funds." Quarterly Journal of Finance 06, no. 01 (February 15, 2016): 1640002. http://dx.doi.org/10.1142/s2010139216400024.
Повний текст джерелаGao, Xinghua, and Scott D. Julian. "The Use of CSR to Insure Against Short Selling Downside Risk." Academy of Management Proceedings 2018, no. 1 (August 2018): 16664. http://dx.doi.org/10.5465/ambpp.2018.16664abstract.
Повний текст джерелаKhodamoradi, T., M. Salahi, and A. R. Najafi. "Robust CCMV model with short selling and risk-neutral interest rate." Physica A: Statistical Mechanics and its Applications 547 (June 2020): 124429. http://dx.doi.org/10.1016/j.physa.2020.124429.
Повний текст джерелаGalloppo, Giuseppe, Mauro Aliano, and Abdelmoneim Youssef. ""Much ado about nothing": Short selling ban effectiveness on bank stock prices." Risk Governance and Control: Financial Markets and Institutions 4, no. 4 (2014): 48–60. http://dx.doi.org/10.22495/rgcv4i4art6.
Повний текст джерелаДисертації з теми "Short-selling risk"
Geraci, Marco Valerio. "Essays on Complexity in the Financial System." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/257470.
Повний текст джерелаDoctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
Hsieh, Meng-Han, and 謝孟翰. "Credit Risk Hedging—Using Share Short Selling as Hedge Tool." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/43466864140881231006.
Повний текст джерела國立臺灣大學
財務金融學研究所
97
In the middle of 2007, since Bear Stearns hedge funds suspended redemption, the credit market turmoil prevailed. With Bears Stearns being taken over and Lehman Brothers ending in bankruptcy, credit default swap spreads spiked to historical high level. A lifer’s credit position had suffered huge loss if it held sub prime related investments or collateralized debt obligation (CDO). A manager can hedge its loss by using credit default swap to hedge the loss in default. However, regulatory or credit line limitations may prompt he/she to use other hedge tools. A negative relationship exists in a firm’s share price and credit spread. With the fall in equity buffer, the credit spread reflecting credit risk is likely to widen as well. Therefore, our study utilizes share short selling as a method to hedge against credit risk. By using a regression, a hedge ratio is determined by the return of share short-selling and long credit default swap position. Then, the hedge results are determined by dynamically rebalancing the hedge position. In order to achieve better hedge results, adjustments are made to the hedge ratio using the return’s correlation and standard deviation. We conclude by suggesting life insurance companies shall utilize the market opportunities to form a credit reserve for future potential credit loss.
KAO, SHIH-LUN, and 高世倫. "Short Selling and Stock Price Crash Risk in Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/17579756480046514853.
Повний текст джерела銘傳大學
財務金融學系碩士班
105
Stock price crash risk means a large negative outlier in the distribution of returns. Recent academic studies argue that bad news hoarding leads to stock price crash risk and conjecture that short sellers are informed traders who are able to detect bad news hoarding activities by firms whose stock they short in anticipation of price crashes, then short interest should reflect the potential for bad news hoarding behavior in firms. This paper investigates whether short interest is positively related to future stock price crash risk by using individual and institutional investor’s short selling in Taiwan stock market. Second, we test whether arbitrage limits change the relation between short interest and stock price crash risk. To provide investors a reference indicator to avoid stock price crash risk. In this paper, the empirical results show that: (1) short interest is positively related to future stock price crash risk by using individual and institutional investor’s short selling, showing when the individual investor’s short selling ratio (institutional investor’s short selling ratio) more large, then stock price crash risk for the next year will more large, so the individual and institutional short selling activities have the ability to predict the future stock price crash risk. (2) In the case of the short selling limit of individual stocks, this paper finds that the higher Idiosyncratic risk and smaller firm size of individual stocks will reduce the positive relationship between the short selling and future stock price crash risk.
Mu, Da-Ren, and 穆達仁. "Linear Value-at-Risk Portfolio Selection Model with Transaction Cost and Short Selling." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/81043893478000376301.
Повний текст джерела國立暨南國際大學
資訊管理學系
101
Value-at-Risk (VaR) is Basel Accord standard in the financial market, but there are some drawbacks of it, Value-at-Risk cannot sufficient of convexity, sub-additive and tail risk. This study based on Benati and Rizzi’s (2007) and Lin’s (2009) nonlinear VaR model then proposed Linear VaR model to improve the Benati and Rizzi’s (2007) VaR model, our model only need to set . This study use the rolling window technique in multiple rebalancing periods with short selling and transaction cost among the VaR models. Four kinds of performance assessments which are global optimal solution, similarity index, sharpe ratio, and market value are used to compare the performances among these three models. This study simulate the historical data by using 28 kinds of investment targets of ETF, energy, minerals, and real estate investment trusts funds. The test of nonlinear VaR model will be local optimal solution in our research. The Linear VaR model can exhibit global optimal solution. The performance of sharpe ratio and VaR (return) in Linear VaR model are better than other models.
Huang, Shin-Ruei, and 黃新睿. "On the Performance Comparison of Different Risk Measures on Different Asset Type with Short Selling and Transaction Cost." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/54045914651711508104.
Повний текст джерела國立暨南國際大學
資訊管理學系
101
With different risk measurements, the rebalancing portfolio selection models including the Mean Variance model, the Mean Absolute Deviation model, the Downside Risk model, and the Conditional Value at Risk model with short selling and trading cost have been studied. Using the rolling window technique, multi-period trading simulation is performed while short selling and transaction cost are also taken into consideration to these four models. Four kinds of performance assessments, which are sharpe ratio, market value, portfolio weight and similarity index are used to compare performances among these four models. The simulating result from using the historical data which is consisted of different asset types including the Exchange Traded Funds, S&P 500 Volatility Index, Commodity, Energy, Precious Metal, Real Estate Investment Trust and Fixed Income. Then we try to find out which risk measure is suitable for which asset type. Therefore, according to this study, we can infer that Conditional Value at Risk is suitable for the asset types which are the combination of many different asset types. Downside risk measure is suitable for the portfolio which consists of assets with negative correlation to the market. The similarity proportion with Mean Absolute Deviation and Mean Variance are more similar than other two models. On the other hand, Buy and Hold strategy in each situation can not have a great benefit without fixed income. In different rebalancing period, the longer and shorter rebalancing period cannot have a good performance in our test with holding period 10 days, 20days, 40days and 60days. The best rebalancing period is 20days for portfolio selection according to our results.
Книги з теми "Short-selling risk"
Handbook of short selling. Boston, MA: Academic Press, 2012.
Знайти повний текст джерелаJ, Fabozzi Frank, ed. Short selling: Strategies, risks, and rewards. Hoboken, N.J: Wiley, 2004.
Знайти повний текст джерелаA, Walker Joseph. Selling short: Risks, rewards, and strategies for short selling stocks, options, and futures. New York: J. Wiley, 1991.
Знайти повний текст джерелаRecent developments in hedge funds: Hearing before the Committee on Banking, Housing, and Urban Affairs, United States Senate, One Hundred Eighth Congress, first session, on the recent developments in hedge funds (an investment company that uses high-risk techniques, such as borrowing money and selling short, in an effort to make extraordinary capital gains), focusing on investor protection implications, the differences between hedge funds and investment companies, regulation under federal securities laws, and conflicts of interest, April 10, 2003. Washington: U.S. G.P.O., 2004.
Знайти повний текст джерелаBeginner's Guide to High-Risk, High-Reward Investing: From Short Selling to SPACs, an Essential Guide to the Next Big Investment. Adams Media Corporation, 2022.
Знайти повний текст джерелаRoss, Robert. Beginner's Guide to High-Risk, High-Reward Investing: From Short Selling to SPACs, an Essential Guide to the Next Big Investment. Adams Media Corporation, 2022.
Знайти повний текст джерелаFabozzi, Frank J., and Cliff Asness. Short Selling: Strategies, Risks, and Rewards. Wiley & Sons, Incorporated, John, 2008.
Знайти повний текст джерелаAsness, Cliff. Short Selling: Strategies, Risks, and Rewards. Wiley, 2004.
Знайти повний текст джерелаCaulkins, Jonathan P., Beau Kilmer, and Mark A. R. Kleiman. Marijuana Legalization. Oxford University Press, 2016. http://dx.doi.org/10.1093/wentk/9780190262419.001.0001.
Повний текст джерелаЧастини книг з теми "Short-selling risk"
Gregoriou, Greg N., and Razvan Pascalau. "An Empirical Analysis of Short-Biased Hedge Funds’ Risk-Adjusted Performance." In Handbook of Short Selling, 419–36. Elsevier, 2012. http://dx.doi.org/10.1016/b978-0-12-387724-6.00029-5.
Повний текст джерелаTambo, Torben, and Ole Egebjerg Mikkelsen. "Fashion Supply Chain Optimization." In Designing and Implementing Global Supply Chain Management, 1–21. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-4666-9720-1.ch001.
Повний текст джерелаТези доповідей конференцій з теми "Short-selling risk"
Yuan, Renshu, Jiguo Yang, and Lei Gao. "Does Short Selling Improve Corporate Social Responsibility?" In Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/wrarm-17.2017.40.
Повний текст джерелаWang, Xingyu, and Fan Wang. "Short selling mechanism, market risk reduced: Evidence from a share market of China." In 2012 IEEE Symposium on Robotics and Applications (ISRA). IEEE, 2012. http://dx.doi.org/10.1109/isra.2012.6219107.
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