Search Results - subject:"Arbitrage Risk"

The role of arbitrage risk in the MAX effect : evidence from the Korean stock market

Goh, Jihoon; Kim, Donghoon - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 159-180

investors' demand for the lottery and the arbitrage risk effect of MAX may overlap and negate each other. Furthermore, MAX …

Persistent link: https://www.econbiz.de/10015055029

When Buffett meets Bollinger : an integrated approach to fundamental and technical analysis

Zhu, Zhaobo; Sun, Licheng - In: Accounting and finance 64 (2024) 3, pp. 2699-2734

Persistent link: https://www.econbiz.de/10015164554

Mediating role of profitability relating financial leverage and stock returns

Chauhan, Gaurav Singh - 2024

Persistent link: https://www.econbiz.de/10015386569

Mediating role of profitability relating financial leverage and stock returns

Chauhan, Gaurav Singh - In: International Journal of Emerging Markets 19 (2023) 10, pp. 3459-3482

estimate the impact of leverage changes on stock returns. The author controls for the varying arbitrage risk that is measured … debt. The author also finds that the variation in arbitrage risk does not substitute for the primary effect of leverage …

Persistent link: https://www.econbiz.de/10015346487

Multi-market trading, price delay, and return predictability

Xia, Chuanxin; Yang, Nien-Tzu; Lin, Chaonan; Ko, Kuan-Cheng - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819821

Does the turnover effect matter in emerging markets? : evidence from China

Chen, Tsung-Yu; Chao, Ching-Hsiang; Wu, Zhen-Xing - In: Pacific-Basin finance journal 67 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013258085

Do limits to arbitrage explain the benefits of volatility-managed portfolios?

Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767

Persistent link: https://www.econbiz.de/10013259593

Arbitrage risk and the cross-section of stock returns : evidence from China

Lin, Yu En; Chu, Chien Chi; Omura, Akihiro; Li, Bin; … - In: Emerging markets review 43 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012414438

Decomposing the value premium : the role of intangible information in the Chinese stock market

Ho, Kin-Yip; An, Jiyoun - In: Emerging markets review 44 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012414883

Arbitrage risk and a sentiment as causes of persistent mispricing : the European evidence

Guidolin, Massimo; Ricci, Andrea - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012417037

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