The distribution of daily stock returns and settlement procedures: the Paris Bourse

Article Abstract:

In many countries settlements take place a fixed number of business days after the transaction (U.S., Japan). In other countries settlements take place periodically on a fixed date when all transactions performed before this date are settled (U.K., France, Italy). In both cases settlement procedures should cause returns not to be identically distributed over all days. The effect is likely to be the largest on markets where all trades are settled only once a month. An empirical investigation of the largest of those markets, the Paris Bourse, demonstrates the importance of the settlement procedure on the distribution of daily returns. (Reprinted by permission of the publisher.)

Management, Stocks, Stock-exchange, Stock exchanges, Stock prices, Euronext Paris, Financial research

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Stochastic convenience yield implied from commodity futures and interest rates

Article Abstract:

A model examining the convenience yields and interest yields inbuilt in commodity futures is presented.

United Kingdom, Science & research, Commodity & service prices, Asset & Risk Management, Research, Economic aspects, Risk management, Return on investment, Commodity futures, Rate of return, Company pricing policy

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