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Instantaneous Arbitrage and the CAPM
Nielsen, Lars Tyge - 2019
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM …. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing … relation in place of the market. Thus the difference between the arbitrage argument and the CAPM argument in Black and Scholes …
Persistent link: https://www.econbiz.de/10012894845
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Arbitrage pricing and equilibrium pricing : compatibility conditions
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
Persistent link: https://www.econbiz.de/10010707894
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Arbitrage pricing and equilibrium pricing : compatibility conditions.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
Persistent link: https://www.econbiz.de/10008832173
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The Virtues and Vices of Equilibrium and the Future of Financial Economics
Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2008
The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then...
Persistent link: https://www.econbiz.de/10004976721
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Hedging for the Long Run
Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …
Persistent link: https://www.econbiz.de/10004984487
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Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee
Carassus, L.; Jouini, E. - Centre de recherche de mathématiques et économie … - 1997
resultat d'absence d'arbitrage. Puis, nous l'appliquons afin de retrouver les resultats deja connus sur les couts de …
Persistent link: https://www.econbiz.de/10005630759
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Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze
Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018
On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...
Persistent link: https://www.econbiz.de/10011875647
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Squeezing shorts through social news platforms
Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021
At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...
Persistent link: https://www.econbiz.de/10012502167
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Put Option Exercise and Short Stock Interest Arbitrage
Barraclough, Kathryn - 2013
U.S. exchange-traded stock options are exercisable before expiration. While put options should frequently be exercised early to earn interest, they are not. In this paper, we explain an early exercise decision rule and then examine actual exercise behavior during the period January 1996 through...
Persistent link: https://www.econbiz.de/10013090248
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Beta risk in the cross-section of equities
Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407