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Cass, David; Pavlova, Anna - 2002

In this paper we critically examine the main workhorse model in asset pricing theory, the Lucas (1978) tree model (LT-Model), extended to include heterogeneous agents and multiple goods, and contrast it to the benchmark model in financial equilibrium theory, the real assets model (RA-Model)....

Persistent link: https://www.econbiz.de/10009433019

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

Dunbar, Kwamie; Edwards, Albert J. - 2007

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since...

Persistent link: https://www.econbiz.de/10009430120

Innovation Assessment via Information Markets: Experimental Studies of Illiquid Information Markets

Stathel, Stephan - 2010

Persistent link: https://www.econbiz.de/10009434510

Beiträge zur Analyse von Finanzmarktmodellen mit Transaktionskosten

Claas Prelle - 2007

Gegenstand dieser Arbeit ist die Untersuchung von Finanzmarktmodellen, die für den An- und Verkauf von Finanzgütern anfallende Kosten berücksichtigen, sogenannte Transaktionskosten. Zentrales Thema ist dabei ein Portfoliooptimierungsproblem in einem Black-Scholes-Modell mit n Aktien bei...

Persistent link: https://www.econbiz.de/10009429000

Contributions to Intertemporal Models in Financial Economics

Gopalan, Ramu - 2008

portfolio restrictions, there is a need to differentiate individual arbitrage opportunities from those at the aggregate level …), this difference in the notion of arbitrage at the individual level and the aggregate level is characterized. Extending the … 2-date result of Hens et al., we show that generically there will be some arbitrage opportunities that remain …

Persistent link: https://www.econbiz.de/10009430929

Financial Economies With Restricted Participation

Aouani, Zaier - 2009

with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …

Persistent link: https://www.econbiz.de/10009430939

Die Ermittlung des Conversion Factors im Futures-Handel

Wöster, Christoph - 2005

Börsengehandelte Termingeschäfte sind durch eine starke Standardisierung der Verträge geprägt, die sich auch auf das zu liefernde Basisinstrument erstreckt. Mit Auflegung eines Terminkontrakts werden die Wertpapiere benannt, die der Erfüllung des Geschäfts dienen können. Weicht deren...

Persistent link: https://www.econbiz.de/10009452486

Risk factors in the UK stock market

Sufar, Saiful Bahri - 2000

This thesis examines risk factors in the UK Stock Market. This objective is achievedby testing the validity of the Capital Asset Pricing Model (CAPM) and the ArbitragePricing Theory (APT). The models were tested using data for the period between 1972to 1993.Test of the CAPM was conducted by...

Persistent link: https://www.econbiz.de/10009461178

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Lin, Cheng-I Eric - 2007

by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for … argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as …

Persistent link: https://www.econbiz.de/10009475070

Three Essays in Empirical Asset Pricing

Jacobs, Thomas A. - 2010

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally...

Persistent link: https://www.econbiz.de/10009477864