Search Results - subject:"limits to arbitrage" - EconBiz

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10011674278

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10011520441

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10011520321

The failure of covered interest parity : FX hedging demand and costly balance sheets

Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016

Persistent link: https://www.econbiz.de/10011609852

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2016

Persistent link: https://www.econbiz.de/10011458739

Global Political Risk and Currency Momentum

Filippou, Ilias - 2016

. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …

Persistent link: https://www.econbiz.de/10013005726

Percent accruals and the accrual anomaly : evidence from the UK

Papanastasopoulos, Georgios - In: Accounting forum : advancing the interdisciplinary and … 44 (2020) 3, pp. 287-310

Persistent link: https://www.econbiz.de/10012298337

Fast and slow arbitrage : fund flows and mispricing in the frequency domain

Peress, Joël; Xi, Dong; Kang, Namho - 2020

Persistent link: https://www.econbiz.de/10012300568

Distress risk, investor sophistication, and accrual anomaly

Gu, Ming - In: Journal of accounting, auditing & finance : JAAF 35 (2020) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10012170080

Advertising arbitrage

Pagano, Marco; Kovbasyuk, Sergei - 2020

Persistent link: https://www.econbiz.de/10012250667

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