Distribution by Scientific Domains
Distribution within Business, Economics, Finance and Accounting

Kinds of Traders

  • informed trader
  • noise trader

  • Selected Abstracts


    C. N. V. Krishnan
    Abstract I examine the aggregate expected profit generated by informed traders of diverse ability in a competitive market. I assume that efficient traders get perfect information on asset values whereas inefficient traders get noisy information. In the presence of order size restrictions, I show that the aggregate expected profit generated by efficient and inefficient traders together can be higher than that generated by efficient traders alone. Thus, inefficient traders can create value in a constrained trading environment. [source]

    Optimal Stealth Trading of the Insider and Expected Profit of the Mimicking Trader,

    Jaehyun Lee
    Abstract In this paper we perform theoretical and empirical analyses on the insiders' optimal "stealth" strategy and expected profits from mimicking trading when the insiders' trading information is publicly available. When insiders select a mixed strategy of AR (1) process as the information exposure strategy in a multi-period model, we find the optimal AR (1) coefficient that maximizes the insiders' profit is negative. Also, (1) the greater the transaction volume of mimicking traders in the market and the longer the information exposure period, the closer the optimum AR (1) coefficient becomes to ,1; (2) The larger the mimicking transaction volume, the smaller the insider's profit gets; and (3) When the volume of mimicking transaction is large and the private information is not much valuable, the likelihood of loss is high. We also validate certain theoretical results of our model using publicized ownership change data of major shareholders. As a result, we find the strategic evidences in the sample of insider transactions closing within 15 trading days. Also, although mimicking traders' losses have not been reported, they can suffer losses when the private information is not much valuable and the insiders take a significant strategic action. [source]


    Summary. This report analyses the 16 stone balance weights and fragments recovered in 1994 from the ninth-century BC Tomb 79 in the Toumba cemetery at Lefkandi, Euboea, the tomb of the ,Warrior Trader'. In material, shapes, and mass standards, the weights are for the most part virtual duplicates of common LBA balance weights from Cyprus and the Levant and attest to (a) the long-term continuity of maritime trading across the Bronze/Iron Age divide in the Cypro-Levantine world, and (b) the active participation of Euboeans in this commercial sphere no later than the early ninth century. Discussed also is the relationship between some of these weights and the later Euboeic weight standard. [source]

    Patterns of Exchange: Navajo Weavers and Traders by Teresa Wilkins

    No abstract is available for this article. [source]

    Out of the Pits: Traders and Technology from Chicago to London , By C. Zaloom

    Juan Pablo Pardo-Guerra
    No abstract is available for this article. [source]

    Bound Together: How Traders, Preachers, Adventurers, and Warriors Shaped Globalization , By Nayan Chanda

    THE HISTORIAN, Issue 4 2008
    Jerry H. Bentley
    No abstract is available for this article. [source]

    Do Informed Traders Trade More When the Market Is Thick?

    Evidence from the Nikkei 225 Index Redefinition of April 2000
    G10; G14; G15 Abstract Using the Nikkei 225 index redefinition that took place in April 2000, we examine whether informed traders strategically trade more when they face increased liquidity trading, as predicted by Admati & Pfleiderer (1988). The significant increase (decrease) in liquidity trading for the new additions (deletions) caused by index trading activities after index redefinition offers a valuable opportunity to empirically test the predictions of Admati and Pfleiderer. The April 2000 index redefinition was not accompanied by any information effects because the event itself was unrelated to changes in firm fundamentals, nor did it involve any information confirmation effects. Our empirical findings support the predictions of the strategic information trader model. We find that informed trading, as measured by the probability of informed trading, increases significantly after additions and decreases significantly after deletions. Further analysis reveals that probability of informed trading changes are associated with changes in investor composition, especially for domestic institutions and foreign shareholders. [source]

    James Rogers and the Bristol slave trade*

    HISTORICAL RESEARCH, Issue 192 2003
    Kenneth Morgan
    This article examines the business failure of James Rogers, a large Bristol slave trader, within the context of the operation of the late British slave trade in west Africa, on the Middle Passage, and in the Caribbean. Based on a large cache of surviving manuscripts, the article shows that the credit crisis of 1793 led to the demise of Rogers's mercantile career but also that his business collapse stemmed from over-extending his slave trading activities, from relatively poor profit levels, and from attempts to expand his trading portfolio in the eighteen months before the national financial crash. [source]

    Memoirs of an indifferent trader: Estimating forecast distributions from prediction markets

    Joyce E. Berg
    C11; C93; D8; G1 Prediction markets for future events are increasingly common and they often trade several contracts for the same event. This paper considers the distribution of a normative risk-neutral trader who, given any portfolio of contracts traded on the event, would choose not to reallocate that portfolio of contracts even if transactions costs were zero. Because common parametric distributions can conflict with observed prediction market prices, the distribution is given a nonparametric representation together with a prior distribution favoring smooth and concentrated distributions. Posterior modal distributions are found for popular vote shares of the U.S. presidential candidates in the 100 days leading up to the elections of 1992, 1996, 2000, and 2004, using bid and ask prices on multiple contracts from the Iowa Electronic Markets. On some days, the distributions are multimodal or substantially asymmetric. The derived distributions are more concentrated than the historical distribution of popular vote shares in presidential elections, but do not tend to become more concentrated as time to elections diminishes. [source]

    Fishing for a Living but Catching HIV: AIDS and Changing Patterns of the Organization of Work in Fisheries in Uganda

    Janet Seeley
    Abstract Over the last decade evidence has emerged suggesting that fisherfolk, as an occupational group, are at greater risk to human immunodeficiency virus (HIV) than other groups in many countries, including Uganda. In this paper we argue that the organization of work in fisheries on Lake Victoria, both now and in the past, encourages patterns of sexual behavior among men and women involved in fishing, trading, and servicing the industry which over the last 20 years has promoted the spread of the HIV among those working in fisheries. We use a case study of a family, Kiwanuka's, to illustrate how patterns of behavior practiced in the past (by Kiwanuka) have much more disastrous consequences now (for his children) because of the existence of HIV. Kiwanuka was a fisherman on Lake Victoria during the 1960s. During that time fish were plentiful and he earned enough to purchase land and establish himself as a coffee farmer. Two of his sons are currently employed as daily laborers at the lake. They complain of poor fish catches and their inability to make money. One daughter, who is HIV-positive, is a dried fish trader. This family's experience illustrates the far-reaching effects of economic and health conditions generated by the fishing industry on distant rural areas and across generations. Rising HIV rates are severely affecting fishers and related occupations already hit by falling fish stocks. The findings show how the same patterns of sexual behavior and wealth generation practiced by the older generation in their youth now represent a deadly risk to their children, a population in urgent need of better access to treatment, prevention, and care. [source]


    We present an optimal portfolio problem with logarithmic utility in the following three cases: (i),The classical case, with complete information from the market available to the agent at all times. Mathematically this means that the portfolio process is adapted to the filtration of the underlying Brownian motion (or, more generally, the underlying Lévy process). (ii),The partial observation case, in which the trader has to base her portfolio choices on less information than . Mathematically this means that the portfolio process must be adapted to a filtration for all t. For example, this is the case if the trader can only observe the asset prices and not the underlying Lévy process. (iii),The insider case, in which the trader has some inside information about the future of the market. This information could for example be the price of one of the assets at some future time. Mathematically this means that the portfolio process is allowed to be adapted to a filtration for all t. In this case the associated stochastic integrals become anticipating, and it is necessary to explain what mathematical model it is appropriate to use and to clarify the corresponding anticipating stochastic calculus. We solve the problem in all these three cases and we compute the corresponding maximal expected logarithmic utility of the terminal wealth. Let us call these quantities , respectively. Then represents the loss of value due the loss of information in (ii), and is the value gained due to the inside information in (iii). [source]

    Empowering Automated Trading in Multi-Agent Environments

    David W. Ash
    Trading in the financial markets often requires that information be available in real time to be effectively processed. Furthermore, complete information is not always available about the reliability of data, or its timeliness,nevertheless, a decision must still be made about whether to trade or not. We propose a mechanism whereby different data sources are monitored, using Semantic Web facilities, by different agents, which communicate among each other to determine the presence of good trading opportunities. When a trading opportunity presents itself, the human traders are notified to determine whether or not to execute the trade. The Semantic Web, Web Services, and URML technologies are used to enable this mechanism. The human traders are notified of the trade at the optimal time so as not to either waste their resources or lose a good trading opportunity. We also have designed a rudimentary prototype system for simulating the interaction between the intelligent agents and the human beings, and show some results through experiments on this simulation for trading of the Chicago Board Options Exchange (CBOE) options. [source]

    Why bartering biodiversity fails

    Susan Walker
    Abstract Regulatory biodiversity trading (or biodiversity "offsets") is increasingly promoted as a way to enable both conservation and development while achieving "no net loss" or even "net gain" in biodiversity, but to date has facilitated development while perpetuating biodiversity loss. Ecologists seeking improved biodiversity outcomes are developing better assessment tools and recommending more rigorous restrictions and enforcement. We explain why such recommendations overlook and cannot correct key causes of failure to protect biodiversity. Viable trading requires simple, measurable, and interchangeable commodities, but the currencies, restrictions, and oversight needed to protect complex, difficult-to-measure, and noninterchangeable resources like biodiversity are costly and intractable. These safeguards compromise trading viability and benefit neither traders nor regulatory officials. Political theory predicts that (1) biodiversity protection interests will fail to counter motivations for officials to resist and relax safeguards to facilitate exchanges and resource development at cost to biodiversity, and (2) trading is more vulnerable than pure administrative mechanisms to institutional dynamics that undermine environmental protection. Delivery of no net loss or net gain through biodiversity trading is thus administratively improbable and technically unrealistic. Their proliferation without credible solutions suggests biodiversity offset programs are successful "symbolic policies," potentially obscuring biodiversity loss and dissipating impetus for action. [source]

    Earnings Quality and the Equity Risk Premium: A Benchmark Model,

    Kenton K. Yee
    Abstract This paper solves a model that links earnings quality to the equity risk premium in an infinite-horizon consumption capital asset pricing model (CAPM) economy. In the model, risk-averse traders hold diversified portfolios consisting of risk-free bonds and shares of many risky firms. When constructing their portfolios, traders rely on noisy reported earnings and dividend payments for information about the risky firms. The main new element of the model is an explicit representation of earnings quality that includes hidden accrual errors that reverse in subsequent periods. The model demonstrates that earnings quality magnifies fundamental risk. Absent fundamental risk, poor earnings quality cannot affect the equity risk premium. Moreover, only the systematic (undiversified) component of earnings-quality risk contributes to the equity risk premium. In contrast, all components of earnings-quality risk affect earnings capitalization factors. The model ties together consumption CAPM and accounting-based valuation research into one price formula linking earnings quality to the equity risk premium and earnings capitalization factors. [source]

    Risky Business: Economic Uncertainty, Market Reforms and Female Livelihoods in Northeast Ghana

    Brenda Chalfin
    This article examines the implications of economic uncertainty for rural markets and the livelihoods of female traders. It does so through a case study of a community in northern Ghana caught in the throes of a structural adjustment-driven privatization initiative. In order to fully comprehend the nature of the economic uncertainties in which rural economic actors are enmeshed and the manner in which they resist, engage or engender these conditions, two theoretical lenses are interposed. One, focusing on structural dissolution and an overall process of rural, and especially female, disempowerment, is drawn from recent approaches to African political economy. The other, gleaned from the field of economic anthropology, attends to the agency and knowledge of rural entrepreneurs in the face of unstable and imperfect market conditions. By bringing together these different analytic traditions, the critical significance of uncertainty within the complex process of rural economic transformation and reproduction becomes evident. Rather than functioning as a diagnostic of economic crisis and insecurity, uncertainty can be a strategic resource integral to the constitution of markets, livelihoods and economic coalitions. Such a perspective, privileging the institutional potentials of local social practice, makes apparent the forceful role played by female traders in the structuring of rural marketing systems even in the face of externally-induced and sometimes dramatic shifts in material conditions. [source]

    Market Liberalisation, Vertical Integration and Price Behaviour in Tanzania's Coffee Auction

    Anna A. Temu
    Whether market liberalisation can promote agricultural development in Africa depends on how well existing institutions can facilitate trade by private agents. This article assesses the performance of the Tanzania coffee marketing system after liberalisation and the emergence of private, vertically integrated exporters (VIEs). Increasing producer prices, declining marketing margins, and the continued provision of a useful auction for coffee that is delivered by traders who are not VIEs all suggest a degree of success for liberalisation. The presence of VIEs seems to have provided investment to reduce marketing costs, whilst a sufficient number of competing firms has limited non-competitive behaviour in the market for coffee that is traded at the auction by non-VIEs. [source]

    On farmers, traders and kings: archaeological reflections of social complexity in early medieval north-western Europe

    Andrew Reynolds
    First page of article [source]

    Package Auctions and Exchanges

    ECONOMETRICA, Issue 4 2007
    Paul Milgrom
    We report recent advances concerning the package allocation problem, in which traders seek to buy or sell combinations of goods. The problems are most difficult when some goods are not substitutes. In that case, competitive equilibrium typically fail to exist but the core is non-empty and comprises the competitive solutions. Also in that case, the Vickrey auction fails to select core allocations and yield revenues that are less than competitive. The Ausubel-Milgrom auction generally selects core allocations and, when goods are substitutes, prescribes the Vickrey allocation. We also evaluate the problems and promise of mechanisms for the package exchange problem. [source]

    Competing Mechanisms in a Common Value Environment

    ECONOMETRICA, Issue 4 2000
    Bruno Biais
    Consider strategic risk-neutral traders competing in schedules to supply liquidity to a risk-averse agent who is privately informed about the value of the asset and his hedging needs. Imperfect competition in this common value environment is analyzed as a multi-principal game in which liquidity suppliers offer trading mechanisms in a decentralized way. Each liquidity supplier behaves as a monopolist facing a residual demand curve resulting from the maximizing behavior of the informed agent and the trading mechanisms offered by his competitors. There exists a unique equilibrium in convex schedules. It is symmetric and differentiable and exhibits typical features of market-power: Equilibrium trading volume is lower than ex ante efficiency would require. Liquidity suppliers charge positive mark-ups and make positive expected profits, but these profits decrease with the number of competitors. In the limit, as this number goes to infinity, ask (resp. bid) prices converge towards the upper (resp. lower) tail expectations obtained in Glosten (1994) and expected profits are zero. [source]

    Does Competition for Clients Increase Service Quality in Cleaning Gobies?

    ETHOLOGY, Issue 6 2008
    Marta C. Soares
    In a biological market, members of one trading class try to outbid each other to gain access to the most valuable partners. Competition within class can thus force individuals to trade goods or services more cheaply, ultimately resulting in conflict (e.g. cheating) over the value of commodities. Cleaning symbioses among fish appear to be good examples of biological markets. However, the existence and effect of outbidding competition among either types of traders (cleaners or clients) have never been tested. We examined whether increasing competition among cleaning gobies (Elacatinus spp.) for access to clients results in outbidding in the form of provision of a better cleaning service. On reefs where fish clients visited cleaning stations less frequently, and thus competition among cleaners was higher, cleaning gobies ingested fewer scales relative to the number of ingested parasites, i.e. they cleaned more honestly. This shift in cleaner behaviour towards greater honesty is consistent with a greater market value of access to clients in the face of competition among cleaners. However, this pattern could have also arisen as a result of differences in ectoparasite availability across reefs and therefore in value of the commodity offered by clients. Experimental manipulations will be required to determine whether cleaning service quality by cleaning gobies was enhanced solely because of competitive outbidding. [source]

    On the Magnet Effect of Price Limits

    David Abad
    G1; G14; D44 Abstract The ,magnet' or ,gravitational' effect hypothesis asserts that, when trading halts are rule-based, investors concerned with a likely impediment to trade advance trades in time. This behaviour actually pushes prices further towards the limit. Empirical studies about the magnet effect are scarce, most likely because of the unavailability of data on rule-based halts. In this paper, we use a large database from the Spanish Stock Exchange (SSE), which combines intraday stock specific price limits and short-lived rule-based call auctions to stabilise prices, to test this hypothesis. The SSE is particularly well suited to test the magnet effect hypothesis since trading halts are price-triggered and, therefore, predictable to some extent. Still, the SSE microstructure presents two particularities: (i) a limit-hit triggers an automatic switch to an alternative trading mechanism, a call auction, rather than a pure halt; (ii) the trading halt only lasts 5 minutes. We find that, even when prices are within a very short distance to the price limits, the probability of observing a limit-hit is unexpectedly low. Additionally, prices either initiate reversion (non limit-hit days) or slow down gradually (limit-hit days) as they come near the intraday limits. Finally, the most aggressive traders progressively become more patient as prices approach the limits. Therefore, both the price patterns and the trading behaviour reported near the limits do not agree with the price limits acting as magnetic fields. Consequently, we conclude that the switching mechanism implemented in the SSE does not induce traders to advance their trading programs in time. [source]

    Rain or Shine: Where is the Weather Effect?

    William N. Goetzmann
    G12; G14 Abstract There is considerable empirical evidence that emotion influences decision-making. In this paper, we use a database of individual investor accounts to examine the weather effects on traders. Our analysis of the trading activity in five major US cities over a six-year period finds virtually no difference in individuals' propensity to buy or sell equities on cloudy days as opposed to sunny days. If the association between cloud cover and stock returns documented for New York and other world cities is indeed caused by investor mood swings, our findings suggest that researchers should focus on the attitudes of market-makers, news providers or other agents physically located in the city hosting the exchange. NYSE spreads widen on cloudy days. When we control for this, the weather effect becomes smaller and insignificant. We interpret this as evidence that the behaviour of market-makers, rather than individual investors, may be responsible for the relation between returns and weather. [source]

    Competition on the London Stock Exchange

    Nicholas Taylor
    This paper investigates the determinants of the level of competition on the order,driven market organised by the London Stock Exchange. In contrast to previous empirical market microstructure studies, we treat the level of competition as an endogenous variable. The statistical nature of the measures of competitive activity used in this paper necessitate use of a count regression model. Using a sample 50 stocks, we find that users of the system tend to follow the lead of other users (termed the ,herding effect') and that competition is greater during the period when the US exchanges are open (termed the ,US effect'). In addition, the level of competition is positively related to the bid,ask spread pertaining to a particular stock (termed the ,spread effect'). The latter result is most likely due to traders following a strategy where trade immediacy is traded off against price advantage. Finally, we find that the magnitude of the herding effect, the spread effect, and the fit of the count regression models (termed the ,fit effect') vary in a predictable manner across the liquidity of stocks. [source]

    Short-run Returns around the Trades of Corporate Insiders on the London Stock Exchange

    Sylvain Friederich
    Previous work examined the long-run profitability of strategies mimicking the trades company directors in the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange. We find movements in returns that are consistent with directors engaging in short-term market timing. We also report that some types of trades have superior predictive content over future returns. In particular, medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warner's (1993) ,stealth trading' hypothesis whereby informed traders avoid trading in blocks. Another contribution of this study is to properly adjust the abnormal return estimates for microstructure (spread) transactions costs using daily bid-ask spread data. On a net basis, we find that abnormal returns all but disappear. [source]

    A new transmission pricing approach for the electricity cross-border trade in the ASEAN Power Grid

    C. Adsoongnoen
    Abstract The electricity cross-border trade is presently introduced among the member countries of the Association of South East Asian Nations (ASEAN). The ASEAN Power Grid (APG) is a plan to interconnect transmission networks among the ASEAN countries to optimize the use of energy resources; to operate the power network in an efficient, economical, and reliable manner; and to provide a close relation among the member countries by electric power interconnection. Transmission pricing is one of the controversial tasks to achieve the APG objectives. In this paper, a transmission pricing method for the electricity cross-border trade based on a combination of postage stamp method and sensitivity indices is proposed. The postage stamp pricing is a uniform tariff expected to recover the project investments, and the operation and maintenance costs. With the combination of the postage stamp method and sensitivity indices, the proposed pricing method sends proper incentive signals to power traders, which are based on system usage and congestion management. To demonstrate its effectiveness, the proposed method is applied to a 12-bus test system. The nodal tariffs at the particular injecting points, payments of the users, and revenues of transmission owners are computed. The simulation results indicate that the proposed method ensures a recovery of the investment costs and the concurrent costs of operation and maintenance in an efficient, fair, and simple manner. Copyright © 2006 John Wiley & Sons, Ltd. [source]

    Insider Trading after Repurchase Tender Offer Announcements: Timing versus Informed Trading

    Henock Louis
    Abnormally high net insider selling is commonly observed after repurchase tender offer (RTO) announcements although, on average, firms experience positive abnormal returns in the years after the repurchases. We explore two potential explanations: liquidity trade timing and informed trading. Consistent with the notion that fixed price RTOs are more likely than Dutch-auction RTOs to signal undervaluation, the results suggest that insider selling after fixed price RTO announcements are driven largely by insiders who time their trades with the repurchase announcements. In contrast, selling after Dutch-auction RTOs seems to be driven primarily by informed traders who exploit mispricing associated with the repurchase announcements. [source]

    Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market

    FINANCIAL REVIEW, Issue 3 2010
    Charlie Charoenwong
    G12; G14; G15 Abstract This study examines which trade sizes move stock prices on the Stock Exchange of Thailand (SET), a pure limit order market, over two distinct market conditions of bull and bear. Using intraday data, the study finds that large-sized trades (i.e., those larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. The finding remains even after it has been subjected to a battery of robustness checks. In contrast, the results of studies conducted in the United States show that informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner, 1993; Chakravarty, 2001). Our results support the hypothesis that informed traders in a pure limit order market, such as the SET, where there are no market makers, also use larger-size trades than those employed by informed traders in the United States. [source]

    The U.S. Share of Trading Volume in Cross-Listings: Evidence from Canadian Stocks

    FINANCIAL REVIEW, Issue 1 2007
    Sanjiv Sabherwal
    G10; G14; G15 Abstract I analyze the firm-specific determinants of the U.S. share of trading volume for 126 U.S.-listed Canadian firms. I find that the U.S. share of volume is directly related to the mass of informed and liquidity traders in the United States relative to Canada, as proxied by relative analyst following, relative duration of listing, and the U.S. share of sales. Evidence also supports the market liquidity argument that the market with lower spreads and greater depths has greater volume. Finally, the U.S. share is directly related to the relative sensitivity of the stock's value to information in the United States. [source]

    Understanding pressures on fishery resources through trade statistics: a pilot study of four products in the Chinese dried seafood market

    FISH AND FISHERIES, Issue 1 2004
    Shelley Clarke
    Abstract This study investigates the dried seafood trade, centred in Chinese markets, in order to better understand the pressures its demand exerts on global marine resource stocks. Using Hong Kong, the region's largest entrepôt, as a focal point, the trade in shark fins, abalone, bêche-de-mer and dried fish is characterized in terms of product history, volume, source fisheries and species composition. Trends identified in the Hong Kong market are interpreted in the context of the larger Chinese market. Shark fin imports grew 6% per year between 1991 and 2000, most likely because of market expansion in Mainland China, posing increasingly greater pressures on global shark resources. In contrast, the quantities of dried abalone traded through Hong Kong remained steady, but inferences based on this trend are discouraged by suggestions of increasing preferences for fresh product forms and growing domestic production in Mainland China. Hong Kong's imports of dried bêche-de-mer (sea cucumber) have decreased, while the percentage of imports re-exported has remained steady, suggesting that Hong Kong continues as an entrepôt for Mainland China despite declining domestic consumption. Few conclusions can be drawn regarding dried fish products, including whole fish and fish maws, because of a lack of product differentiation in customs data, but a market survey was conducted to provide information on species composition. Comparison of Hong Kong dried seafood trade statistics to those of other key trading partners indicates that, in general, Hong Kong's duty-free status appears to encourage more accurate reporting of traded quantities. Under-reporting biases ranged from 24 to 49% for shark fin and bêche-de-mer, respectively. Comparison to United Nations (UN) Food and Agriculture Organization (FAO) databases indicates additional under-reporting for shark fin such that an alternative minimum estimate of world trade is at least twice the FAO estimates in 1998,2000. The results of a survey of Hong Kong traders provide insight into their attitudes toward harvest, economic and regulatory factors, and suggest that conservation efforts are unlikely to emerge from, or be actively supported by, dried seafood trade organizations. The market's apparent sensitivity to economic sentiment, however, reveals an opportunity for consumer education to play a role in shaping future market growth and resource conservation. Recommendations are provided for improving trade statistics and for developing better analytical techniques to complement traditional methods for monitoring the exploitation and management of fisheries resources. [source]

    The effects of taxation on put-call parity

    ACCOUNTING & FINANCE, Issue 3 2009
    Karen Alpert
    G13 Abstract Share and option transactions are taxed differently, which means that the after-tax cash flows used to establish put-call parity will differ depending on which option is exercised. This paper derives the after-tax put-call parity relationship for European and American options with or without dividends. Using Australian data for the period July 1999 to June 2002, the after-tax put-call parity relationship explains 88.3 per cent of no-tax lower boundary violations and 78.8 per cent of no-tax upper boundary violations. The violation are larger for more thinly traded securities, providing some evidence that traders are able to profit from the tax discontinuities that affect investors in options. [source]