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Short-term investment and the informational efficiency of the market

Vives, Xavier - In: The review of financial studies 8 (1995) 1, pp. 125-160

Persistent link: https://www.econbiz.de/10001176465

Short-term investment and the informational efficiency of the market

Vives, Xavier - 1994

Persistent link: https://www.econbiz.de/10013444313

Arbitrage risk and market efficiency : the case of treasury bill futures

Lin, James Wuh - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 187-203

Persistent link: https://www.econbiz.de/10001467558

Arbitrage Risk and Market Efficiency – Applications to Securities Class Actions

Bhattacharya, Rajeev R. - 2017

for class action treatment. We provide a general methodology to measure the arbitrage risk, which is a negative proxy for … the market efficiency, of a stock for any relevant period. We apply this methodology to calculate the arbitrage risk of …

Persistent link: https://www.econbiz.de/10012972197

What drives the distress risk-return puzzle? : a perspective on limits of arbitrage

Sha, Yezhou; Bu, Ziwen; Wang, Zilong - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3574-3592

Persistent link: https://www.econbiz.de/10014429152

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

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the … ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …

Persistent link: https://www.econbiz.de/10011772356

Overconfidence, arbitrage, and equilibrium asset pricing

Daniel, Kent; Hirshleifer, David; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 921-965

Persistent link: https://www.econbiz.de/10001593013

Existence of Linear Equilibria in The Kyle Model with Partial Correlation and Two Risk Neutral Traders

Daher, Wassim; Saleeby, Elias G. - 2023

We study a generalization of the static model of Kyle with two risk neutral insiders to the case where each insider is partially informed about the value of the stock. First, we provide a necessary and sufficient condition for the uniqueness of the linear Bayesian equilibrium. Specifically, we...

Persistent link: https://www.econbiz.de/10014349923

Health risk and the efficient market hypothesis in the time of COVID-19

Vasileiou, Evangelos; Samitas, Aristeidis; … - In: International review of applied economics 35 (2021) 2, pp. 210-223

Persistent link: https://www.econbiz.de/10012485125