Narrow search
Showing 1 - 10 of 3,001
Cover Image
The Pricing Kernel Is U-shaped
Sichert, Tobias - 2020
Numerous studies find S-shaped pricing kernels, which is conflicting with standard theory. In contrast to that, based on a novel GARCH model with structural breaks, I show that the pricing kernel is consistently U-shaped. The results are robust to variations in the methodology and hold for...
Persistent link: https://www.econbiz.de/10012853175
Cover Image
Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels
Bakshi, Gurdip - 2018
When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing...
Persistent link: https://www.econbiz.de/10012940716
Cover Image
Limits to Arbitrage, Investor Sentiment, and Factor Returns in International Government Bond Markets
Zaremba, Adam - 2019
the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor … sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to … arbitrage negatively affect momentum profits …
Persistent link: https://www.econbiz.de/10012893037
Cover Image
The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
Cover Image
The pricing of unexpected volatility in the currency market
Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021
Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...
Persistent link: https://www.econbiz.de/10012591966
Cover Image
Limits of Arbitrage and Primary Risk Taking in Derivative Securities
Tian, Meng; Wu, Liuren - 2021
arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …
Persistent link: https://www.econbiz.de/10013244989
Cover Image
The Limits of Arbitrage and Stock Mispricing : Evidence from Decomposing the Market to Book Ratio
Al-Shammasi, Naji - 2017
We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers …
Persistent link: https://www.econbiz.de/10012968811
Cover Image
Applying the Teachings of Behavioural Finance to Risk Arbitrage Strategy
Dieudonne, Stephane - 2012
associate both behavioural finance and the alternative strategy of risk arbitrage.In this document, we therefore propose to … concrete examples drawn from the experience of our risk arbitrage management team. We conclude by showing that behavioural … finance can be a precious tool in the management of a risk arbitrage portfolio …
Persistent link: https://www.econbiz.de/10013099584
Cover Image
Intraday Forex Trading Based on Sentiment Inflection Points
Hafez, Peter - 2013
In this study we propose a short-term Forex trading strategy that uses the principles of technical analysis to create buy or sell signals based on data derived from fundamental news. Short and long term sentiment inflection points are captured by consulting a set of sentiment indexes that...
Persistent link: https://www.econbiz.de/10013088791
Cover Image
Country News Sentiment Factors Predict Forex Prices
Hafez, Peter - 2013
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...
Persistent link: https://www.econbiz.de/10013081446