Caput Financial Markets

In this essay we discus the paper “Price changes of related securities: the case of call options and stocks” by M. Bhattacharya.

Caput Financial Markets Computer Exercise

The difference between the January effect and the other January effect is the fact that the January effect looks at the prior year to predict returns in January and the other January effect looks at the return in January to predict the returns for th

In this paper I focus entirely on the premium of earning announcements. To see how much this premium is I create too portfolios, one of announcers and one for non-announcers. I take a long position at the begin of the month in stocks with an announce