Search Results - subject:"limits to arbitrage"

Price discrimination and limits to arbitrage: An analysis of global LNG markets

Ritz, Robert A. - In: Energy Economics 45 (2014) C, pp. 324-332

Gas prices around the world vary widely despite being connected by international trade of liquefied natural gas (LNG). Some industry observers argue that major exporters have acted irrationally by not arbitraging prices. This is also difficult to reconcile with a competitive model in which...

Persistent link: https://www.econbiz.de/10010939433

Overcoming limits of arbitrage: Theory and evidence

Hombert, Johan; Thesmar, David - In: Journal of Financial Economics 111 (2014) 1, pp. 26-44

Limits to arbitrage arise because financial intermediaries may face funding constraints when mispricing worsens. Using … a model with limits to arbitrage, where we allow arbitrageurs to secure capital even in case of underperformance, we … evidence is consistent with the idea that some hedge funds overcome the limits to arbitrage. …

Persistent link: https://www.econbiz.de/10010718736

Overcoming limits of arbitrage : theory and evidence

Homberta, Johan; Thesmar, David - In: Journal of financial economics 111 (2014) 1, pp. 26-44

Persistent link: https://www.econbiz.de/10010255544

Sellt he rumour, buy the fact?

Marshall, Ben R.; Visaltanachoti, Nuttawat; Cooper, … - In: Accounting and finance : journal of the Accounting … 54 (2014) 1, pp. 237-249

Persistent link: https://www.econbiz.de/10010342391

Price discrimination and limits to arbitrage : an analysis of global LNG markets

Ritz, Robert A. - In: Energy economics 45 (2014), pp. 324-332

Persistent link: https://www.econbiz.de/10010505361

Speculate against speculative demand

Ap Gwilym, Owain; Kita, Arben; Wang, Qingwei - In: International review of financial analysis 34 (2014), pp. 212-221

Persistent link: https://www.econbiz.de/10010529037

Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach

Deville, Laurent; Riva, Fabrice - HAL - 2007

analysis to characterize how limits to arbitrage influence the expected duration of arbitrage deviations. After controlling for … conventional limits to arbitrage, we show that liquidity-linked variables are associated with a faster reversion of arbitrage …

Persistent link: https://www.econbiz.de/10008791500

Risk in Dynamic Arbitrage: Price Effects of Convergence Trading

Kondor, Péter - Magyar Nemzeti Bank (MNB) - 2006

This paper studies the adverse price effects of convergence trading. I assume two assets with identical cash flows traded in segmented markets. Initially, there is gap between the prices of the assets, because local traders’ face asymmetric temporary shocks. In the absence of arbitrageurs, the...

Persistent link: https://www.econbiz.de/10005741325

Risk in dynamic arbitrage: Price effects of convergence trading

Kondor, Péter - 2006

Persistent link: https://www.econbiz.de/10010322491

A case study of short-sale constraints and limits to arbitrage

Easton, Steve; Pinder, Sean; Uylangco, Katherine - In: Journal of Banking & Finance 37 (2013) 10, pp. 3924-3929

This paper uses a unique data set of trades in a unique pair of securities that enables the precise identification of individual broker activity and the trade direction of that activity. We find direct evidence that the imposition (removal) of short-sale constraints limits (generates) trading...

Persistent link: https://www.econbiz.de/10010738286