We set up a general equilibrium model of Chinese wealth management products (WMPs), which are deeply rooted in traditional Chinese commercial banks. According to this model, we proposed two hypotheses, namely, the regulatory arbitrage and information asymmetry hypotheses. We tested the...

This paper proposes a novel bond return (price or yield curve) prediction methodology, unifying the classical no arbitrage pricing framework, which is ubiquitous and serves as the fundamental theoretical building block in mathematical finance, and empirical asset (bond) pricing methodologies,...

Modigliani and Miller showed that the market value of the company is independent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the MM theorem in a complete market with two simultaneously traded assets, employing...

Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such a model is unsuitable for contingent claim valuation because it violates even the weakest...

This study provides novel analysis of the events in the WTI crude oil futures market on April 20, 2020. We detail how the arbitrage linkages between the NYMEX CL contract and the e-mini NYMEX QM contract broke down and report new information about the unusual market conditions on that date....