if this message does not display correctly, click here | Table of Contents Marianna Brunetti, Dept. Economics and Finance, University of Rome Tor Vergata, CEFIN
Roberta De Luca, Bank of Italy Luisa Corrado, University of Rome Tor Vergata Department of Economics and Finance
Andrea Fazio, Sapienza University of Rome
Alessandra Pelloni, University of Rome Tor Vergata, Department of Economics and Finance, Students Guillaume Pommey, University of Rome Tor Vergata | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Furio Camillo Rosati - Director "Pairs Trading In The index Options Market" 
CEIS Working Paper No. 512 MARIANNA BRUNETTI, Dept. Economics and Finance, University of Rome Tor Vergata, CEFIN
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ROBERTA DE LUCA, Bank of Italy
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We test the Index options market efficiency by means of a statistical arbitrage strategy, i.e. pairs trading. Using data on five Stock Indexes of the Euro Area, we first identify any potential option mispricing based on deviations from the long-run relationship linking their implied volatilities. Then, we evaluate the profitability of a simple pair trading strategy on the mispriced options. Despite the signals of potential mispricing are frequent, the statistical arbitrage does not produce significant positive returns, thus providing evidence in support of Index Option market efficiency. The time-to-maturity of the options involved in the trade as well as financial market turbulence have a marginal effect on the eventual strategy returns, which are instead mostly driven by the moneyness of the options traded. Our results remain qualitatively unchanged if a stricter definition of reversion to the equilibrium is applied or when the long-run relationship is estimated on an (artificially derived) time series of options prices rather than on options’ implied volatilities. "Pro-environmental Attitudes, Local Environmental Conditions and Recycling Behavior"
CEIS Working Paper No. 513 LUISA CORRADO, University of Rome Tor Vergata Department of Economics and Finance
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ANDREA FAZIO, Sapienza University of Rome
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ALESSANDRA PELLONI, University of Rome Tor Vergata, Department of Economics and Finance, Students
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We investigate some motivations of recycling, using Italian survey data. We find that people declaring an interest in environmental issues or belonging to an environmental association are more likely to recycle. This suggests that the motivations for behaving pro-environmentally have an expressive and noninstrumental motivation. However, we also find that if people perceive to live in a deteriorated environment, they are less likely to recycle. We discuss possible explanations for this finding. "Partnership Dissolution with Cash-Constrained Agents"
CEIS Working Paper No. 514 GUILLAUME POMMEY, University of Rome Tor Vergata
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When partnerships come to an end, partners must find a way to efficiently reallocate the commonly owned assets to those who value them the most. This requires that the aforementioned members possess enough financial resources to buy out the others’ shares. I investigate ex post efficient partnership dissolution when agents are ex post cash constrained. I derive necessary and sufficient conditions for ex post efficient partnership dissolution with Bayesian (resp. dominant strategy) incentive compatible, interim individually rational, ex post (resp. ex ante) budget balanced and ex post cash-constrained mechanisms. Ex post efficient dissolution is more likely to be feasible when agents with low (resp. large) cash resources own more (resp. less) initial ownership rights. Furthermore, I propose a simple auction to implement the optimal mechanism. Finally, I investigate second-best mechanisms when cash constraints are such that ex post efficient dissolution is not attainable. | | ^top
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