/2015 14 Sample Formation 6/29/2015 15 Descriptive Statistics 6/29/2015 16 Empirical Test – Q1 • Estimating Pricing Effects of Future Earnings Uncertainty 6/29/2015 17 Empirical Test – Q1 • I empirically
Agenda •Introduction •Literature review •Data •Methodology •Empirical Result •Conclusion •At 28 April 2006, TFEX launched SET50 Index Futures as the first product. •At 29 October 2007, SET50 Index Options
=artificial genuine OR "artificial genuine" OR "synthetic authentic" OR "synthetic real" OR "man-made authentic" OR "man-made real"&wt=json&indent=true&facet=true&facet.field=key_filetype&facet.field
Exchanges • Data source and empirical methods • RTO characteristics and empirical results • Conclusions and policy discussion 10 What we know and don’t know about RTOs? Existing literature • Signaling via
volatility, after losses, results in ex-post good outcomes? Unclear why the difference in individuals’ risk-aversion level should have an impact on the empirical results of realization effect? Compare with
Roychowdhury 2006 Healy 1985 DeAngelo 1986 Jones 1991 Modified Jones 1991 Empirical Setting 8 Empirical Setting 9 Source from the International Federation of Red Cross Red Crescent Societies Measures
price impact of sells. This finding is consistent with the hypothesis that buys are better informed than sells. Finally, the empirical results do not support the hypothesis that a stock’s history of price
Administration, SEC Working Paper Forum May 28, 2015 1 Topics of Presentation 2 Introduction and literature reviews How to measure return and volatility spillovers Empirical estimation of return and volatility
clarifications to the assessor in the same sessions as well as submitting empirical evidence and answering the assessor’s inquiries. “Protecting investors in the capital market is one of our most important
impact asymmetry between buy and sell trades • Hypotheses • Data and Methodology • Empirical Findings • Conclusion Background on Price Impact Asymmetry • Empirical findings of permanent price impact