Search Results - subject:"Arbitrage pricing theory"

Acharya, Viral V.; Shin, Hyun Song; Yorulmazer, Tanju - In: The review of corporate finance studies 2 (2013) 1, pp. 62-97

Persistent link: https://www.econbiz.de/10009729973

A tractable LIBOR model with default risk

Grbac, Zorana; Papapantoleon, Antonis - In: Mathematics and financial economics 7 (2013) 2, pp. 203-227

Persistent link: https://www.econbiz.de/10009736861

Behavioral Investment Strategy Matters : A Statistical Arbitrage Approach

Sun, David S. - 2013

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...

Persistent link: https://www.econbiz.de/10013091434

Limits to Arbitrage and Hedging : Evidence from Commodity Markets

Acharya, Viral V. - 2013

Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (speculators' risk capacity)...

Persistent link: https://www.econbiz.de/10013080025

Demand and distance : evidence on cross-border shopping

Asplund, Marcus (contributor); Friberg, Richard (contributor) - 2005 - [Elektronische Ressource]

While many studies have documented deviations from the Law of One Price in international settings, evidence is scarce on the extent to which consumers take advantage of price differentials and engage in cross border shopping. We use data from 287 Swedish municipalities to estimate how responsive...

Persistent link: https://www.econbiz.de/10002609537

A note on Wick products and the fractional Black-Scholes model

Björk, Tomas (contributor); Hult, Henrik (contributor) - 2005

In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...

Persistent link: https://www.econbiz.de/10003114274

Arbitrage pricing theory

Huberman, Gur - 2005

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …Federal Reserve Bank of New York Staff Reports Arbitrage Pricing Theory Gur Huberman Zhenyu Wang Staff Report no. 216 … the responsibility of the authors. Arbitrage Pricing Theory Gur Huberman and Zhenyu Wang Federal Reserve Bank of New …

Persistent link: https://www.econbiz.de/10003085740

The efficient-market version of purchasing power parity : does the test procedure really matter?

Manzur, Meher (contributor); Wong, Tsz Kei (contributor) - 2005

Persistent link: https://www.econbiz.de/10003011921

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshirō; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals since 1997/98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the...

Persistent link: https://www.econbiz.de/10003056780

Limits of arbitrage : theory and evidence from the mortgage-backed securities market

Gabaix, Xavier; Krishnamurthy, Arvind; Vigneron, Olivier - 2005

Persistent link: https://www.econbiz.de/10003240462