This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T are large. We derive the bias term in an order p dynamic panel data model and the limiting distribution of the estimator. Simulation results show good finite sample properties of...

This paper studies the diffusion of regional macroeconomic information into stock prices. I identify all U.S. states that are economically relevant for a company through textual analysis of annual reports and find that economic activity forecasts of company-relevant regions positively predict...

Most statistical arbitrage strategies in the academic literature soley rely on price time series. By contrast, alternative data sources are of growing importance for professional investors. We contribute to bridging this gap by assessing the price-predictive value of more than nine million...

The field-based experimental approach was utilized to collect expectations-arbitrage portfolios from more than 100 competent investors at the pick of the financial crisis. The average annual return on 117 portfolios was 5.2% with 55% profitability rate. Prior self confidence emerges as the...

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial optimization. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities...

This paper discusses option strategies that can be used to enhance returns or reduce risk in a merger book. Examples are given with comparison of alternative implementations of the merger strategy done in terms of upside versus downside quantified in terms of deal break p&l

This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are based on the prices' lower boundary and on the put-call parity. We consider the futures price for the underlying and the bid-ask spread in order to diminish the synchronisation...