The 2011 European short sale ban on financial stocks: a cure or a curse? : [version 31 july 2013]

Did the August 2011 European short sale bans on financial stocks accomplish their goals? In order to answer this question, we use stock options’ implied volatility skews to proxy for investors’ risk aversion. We find that on ban announcement day, risk aversion levels rose for all stocks but more so for the banned financial stocks. The banned stocks’ volatility skews remained elevated during the ban but dropped for the other unbanned stocks. We show that it is the imposition of the ban itself that led to the increase in risk aversion rather than other causes such as information flow, options trading volumes, or stock specific factors. Substitution effects were minimal, as banned stocks’ put trading volumes and put-call ratios declined during the ban. We argue that although the ban succeeded in curbing further selling pressure on financial stocks by redirecting trading activity towards index options, this result came at the cost of increased risk aversion and some degree of market failure

Poster 361: Psychogenic Polydipsia after Pediatric Severe Traumatic Brain Injury: A Case Report

Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/146855/1/pmr2s246a.pd

Implied volatility sentiment:a tale of two tails

We propose a sentiment measure jointly derived from out-of-the-money index puts and single stock calls: implied volatility (IV-) sentiment. In contrast to implied correlations, our measure uses information from the tails of the risk-neutral densities from these two markets rather than across their entire moneyness structures. We find that IV-sentiment measure adds value over and above traditional factors in predicting the equity risk premium out-of-sample. Forecasting results are superior when constrained ensemble models are used vis-à-vis unregularized machine learning techniques. In a mean-reversion strategy, our IV-sentiment measure delivers economically significant results, with limited exposure to a set of cross-sectional equity factors, including Fama and French's five factors, the momentum factor and the low-volatility factor, and seems valuable in preventing momentum crashes. Our novel measure reflects overweight of tail events, which we interpret as a behavioral bias. However, we cannot rule out a risk-compensation rationale

Single Stock Call Options as Lottery Tickets:Overpricing and Investor Sentiment

The authors investigate whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's [1992] cumulative prospect theory (CPT). They hypothesize that these options are expensive because investors overweight small probability events and overpay for positively skewed securities (i.e., lottery tickets). The authors find that overweighting of small probabilities embedded in the CPT explains the richness of out-of-the money single stock calls better than other utility functions. Nevertheless, overweighting of small probabilities events is less pronounced than suggested by the CPT, is strongly time varying, and most frequent in options of short maturity. The authors find that fluctuations in overweighting of small probabilities are largely explained by the sentiment factor

PKA Phosphorylation of Src Mediates cAMP\u27s Inhibition of Cell Growth via Rap1

In fibrolast cells, cAMP antagonizes growth factor activation of ERKs and cell growth via PKA and the small P protein Rap1. We demonstrate here that PKA\u27s activation of Rap1 was mediated by the Rap1 guanine nucleotide exchange factor C3G, the adaptor Crk-L, the scaffold protein Cbl, and the tyrosine kinase Src. Src was required for cAMP activation of Rap1 and the inhibition of ERKs and cell growth. PKA activated Src both in vitro and in vivo by phosphorylation was required for cAMP\u27s activation of Src and Rap1, as well as cAMP\u27s inhibition of ERKs and cell proliferation. This study identifies an antiproliferative role for Src in the physiological regulation of cell growth by cAMP

B2-Adrenergic Receptor Activates Extracellular Signal-regulated Kinases (ERKs) via the Small G Protein Rap1 and the Serine/Threonine Kinase B-Raf

G protein-coupled receptors can induce cellular proliferation by stimulating the mitogen-activated protein (MAP) kinase cascade. Heterotrimeric G proteins are composed of both a and By subunits that can signal independently to diverse intracellular signaling pathways including those that activate MAP kinases. In this study, we examined the ability of isoproterenol, an agonist of the B2-adrenergic receptor (b2AR), to stimulate extracellular signal-regulated kinases (ERKs). Using HEK293 cells, which express endogenous b2AR, we show that isoproterenol stimulates ERKs via b2AR. This action of isoproterenol requires cAMP-dependent protein kinase and is insensitive to pertussis toxin, suggesting that Gas activation of cAMP-dependent protein kinase is required. Interestingly, b2AR activates both the small G proteins Rap1 and Ras, but only Rap1 is capable of coupling to Raf isoforms. b2AR inhibits the Ras-dependent activation of both Raf isoforms Raf-1 and B-Raf, whereas Rap1 activation by isoproterenol recruits and activates B-Raf. b2AR activation of ERKs is not blocked by expression of RasN17, an interfering mutant of Ras, but is blocked by expression of either RapN17 or Rap1GAP1, both of which interfere with Rap1 signaling. We propose that isoproterenol can activate ERKs via Rap1 and BRaf in these cells

De geloofwaardigheid van het EMS

M et behulp van recent ontwikkelde wisselkoersmodellen is het mogelijk hetgedrag van wisselkoersen in een wisselkoersstelsel als het EMS te bestuderen. Aan de hand van geschatte devaluatiekansen laten de auteurs zien dat het EMS tot 1987 voor veel munten ongeloofwaardig was. Na 1987 nam de geloofwaardigheid substantieel toe, totdat de recente valutacrises het stelsel omverwierpen. Er zijn tot nog toe weinig aanwijzingen dat de nieuwe opzet van het EMS met fluctuatiemarges van 15% niet houdbaar is. Ook het vasthouden van de gulden aan de 2,25% bandbreedte ten opzichte van de Duitse mark lijkt atteszins gerechtvaardigd

Differences between foreign exchange rate regimes: the view from the tails

In the literature on the empirical unconditional distribution of foreign exchange rate returns there is indication that the type of distribution function is related to the form of exchange rate regime. The analysis has been hampered by the nonnestedness of alternative distribution models. The paper investigates the issue by means of extremal analysis which allows for a unified treatment. In particular, we try to sort out whether apparent distributional differences are due to differences in techniques or in regimes

The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rates

Journal of Applied Econometrics13149-5