Currency risk is generally considered a key difference between domestic and foreign investors. In addition to conversion risk, investors face indirect currency risk due to assets' correlation with the exchange rate. Currency risk therefore does not only lead to cross country differences but to...

Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price discovery and markets' information shares. Starting...

This is the first paper to theoretically analyze the temporary reversal of the downward trend in financial assets, also known as dead cat bounce or bear market rally. We show that preferences according to cumulative prospect theory lead an investor to take ex- cessive risk and unprofitable...