Momentum profits, non-normality risks and the business cycle

Author(s):

Ana-Maria Fuertes

Topic:
Finance
Industry:
Banking

The paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. It shows that momentum profits are not normally distributed and, relatedly, that the momentum profitability is partly a compensation for systematic negative skewness risk in line with market efficiency.

Updated: 22/09/2011
Comments:
Views: 3,653

Options on normal underlyings with an application to the pricing of survivor swaptions

Author(s):

David Blake

Topic:
Finance
Industry:
Banking

Survivor derivatives are gaining considerable attention in both the academic and practitioner communities. Early trading in such products has generally been confined to products with linear payoffs, both funded (bonds) and unfunded (swaps).

Updated: 22/09/2011
Comments:
Views: 3,237