Search Results - subject:"limits of arbitrage"

Hugonnier, Julien; Prieto, Rodolfo - In: Journal of Financial Economics 115 (2015) 2, pp. 411-428

We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility. Such credit is valuable...

Persistent link: https://www.econbiz.de/10011189251

On informational efficiency of the banking sector: a behavioral model of the credit boom

Peon, David; Calvo, Anxo; Antelo, Manel - In: Studies in Economics and Finance 32 (2015) 2, pp. 158-180

to be extended to bank-based systems. A simple model of herding and limits of arbitrage that follows a three … derive. An important finding is the role of limits of arbitrage in the banking sector: there would be no incentives for … biases might guide retail credit markets and why limits of arbitrage would be more pervasive in bank-based financial systems …

Persistent link: https://www.econbiz.de/10015013971

Equity anomalies and idiosyncratic risk around the world

Fan, Steve; Opsal, Scott; Yu, Linda - In: Multinational finance journal : MF ; quarterly … 19 (2015) 1/2, pp. 33-75

Persistent link: https://www.econbiz.de/10011434193

Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Tan, Senren; Jin, Zhuo; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343

Persistent link: https://www.econbiz.de/10011439593

Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - In: Journal of financial economics 115 (2015) 2, pp. 411-428

Persistent link: https://www.econbiz.de/10011347464

On informational efficiency of the banking sector : a behavioral model of the credit boom

Peón, David; Calvo, Anxo; Antelo Suárez, Manuel - In: Studies in economics and finance 32 (2015) 2, pp. 158-180

Persistent link: https://www.econbiz.de/10011380770

Parent company puzzle in Japan : another case of the limits of arbitrage

Inoue, Kotaro; Kato, Hideaki Kiyoshi; Schallheim, James - In: Hitotsubashi Journal of commerce and management 42 (2008) 1, pp. 67-85

During the internet bubble in the U.S., there were several instances that the market value of a parent firm was less than the market value of its holdings of a publicly traded subsidiary. This parent company puzzle is also observed in Japan. The objective of this paper is to investigate whether...

Persistent link: https://www.econbiz.de/10010765970

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...

Persistent link: https://www.econbiz.de/10011083240

A Behavioral Model of the Credit Boom

Peón, David; Calvo, Anxo; Antelo, Manel - Instituto Universitario de Estudios e Desenvolvemento … - 2014

We offer a simple model of herding and limits of arbitrage in retail credit markets that follows the behavioral … rational for unbiased banks to herd under conditions we derive. An important finding is the role of limits of arbitrage in the …

Persistent link: https://www.econbiz.de/10010757188

Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle

Doran, James; Jiang, Danling; Peterson, David - Volkswirtschaftliche Fakultät, … - 2007

The underperformance of high idiosyncratic volatility stocks, as documented by Ang, Hodrick, Ying, and Zhang (2006, JF), is a pure non-January phenomenon. This non-January negative relation between idiosyncratic volatility and stock returns is more pronounced among firms with greater constraints...

Persistent link: https://www.econbiz.de/10005621852