Search Results - subject:"limits of arbitrage"

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10012144216

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

Persistent link: https://www.econbiz.de/10011932555

Investor sentiment and limits of arbitrage : evidence from Chinese stock market

Tan, Xiaoyu; Zhang, Zili; Zhao, Xuejun; Wang, Chengxiang - In: International review of economics & finance : IREF 75 (2021), pp. 577-595

Persistent link: https://www.econbiz.de/10012692801

What constrains liquidity provision? : evidence from institutional trades

Çötelioğlu, Efe; Franzoni, Francesco; Plazzi, Alberto - In: Review of finance : journal of the European Finance … 25 (2021) 2, pp. 485-517

Persistent link: https://www.econbiz.de/10012546174

The CDS-bond basis arbitrage in emerging markets : extreme sovereign risk

Daoued, Imen; Gallali, Mohamed Imen - In: International journal of bonds and derivatives 4 (2021) 3, pp. 196-220

Persistent link: https://www.econbiz.de/10012612655

Best friend or worst enemy? : dynamics and multiple equilibria with financial arbitrage, production and collateral constraints

Zhang, Quan - 2017 - Last update: March 23, 2017

We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities with the macroeconomy through collateralization. We show that the interactions between speculative trading and the business cycle can work as a powerful transmission mechanism,...

Persistent link: https://www.econbiz.de/10011626467