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Year of publication
Subject
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Arbitrage Pricing 1,164 Arbitrage pricing 1,142 Theorie 770 Theory 751 Arbitrage 362 CAPM 261 Portfolio-Management 180 Portfolio selection 175 Optionspreistheorie 154 Option pricing theory 143 Zinsstruktur 126 Yield curve 122 Schätzung 99 Estimation 97 Börsenkurs 95 Share price 91 Kapitaleinkommen 89 Capital income 88 Arbitrage-Pricing-Theorie 86 Kapitalmarkttheorie 77 Derivat 73 Derivative 73 USA 73 Finanzmarkt 69 United States 69 Financial market 68 Aktienmarkt 67 Financial economics 60 Martingale 60 Stock market 57 Volatilität 57 Deutschland 56 Martingal 56 Volatility 56 Risikoprämie 55 Risk premium 53 Transaktionskosten 53 Transaction costs 51 Unvollkommener Markt 51 Stochastischer Prozess 50
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Online availability
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Free 384 Undetermined 143
Type of publication
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Book / Working Paper 706 Article 550
Type of publication (narrower categories)
All
Article in journal 474 Aufsatz in Zeitschrift 474 Working Paper 286 Graue Literatur 279 Non-commercial literature 279 Arbeitspapier 258 Hochschulschrift 83 Thesis 69 Aufsatz im Buch 54 Book section 54 Lehrbuch 20 Textbook 19 Dissertation u.a. Prüfungsschriften 17 Bibliografie enthalten 13 Bibliography included 13 Collection of articles written by one author 11 Sammlung 11 Glossar enthalten 6 Glossary included 6 Collection of articles of several authors 5 Sammelwerk 5 Article 2 CD-ROM, DVD 2 Commentary 2 Conference paper 2 Forschungsbericht 2 Kommentar 2 Konferenzbeitrag 2 Konferenzschrift 2 Systematic review 2 Übersichtsarbeit 2 Amtsdruckschrift 1 Bibliografie 1 Case study 1 Conference proceedings 1 Einführung 1 Fallstudie 1 Festschrift 1 Government document 1 Handbook 1
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Language
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English 1,125 German 95 Undetermined 21 Spanish 10 French 2 Italian 2 Polish 1
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Author
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Vayanos, Dimitri 17 Platen, Eckhard 16 Björk, Tomas 15 Rudebusch, Glenn D. 15 Diebold, Francis X. 13 Le Van, Cuong 13 Christensen, Jens H. E. 10 Kabanov, Jurij M. 10 Gromb, Denis 9 Jouini, Elyès 9 Sun, Yeneng 9 Entorf, Horst 8 Jamin, Gösta 8 Page, Frank H. 8 Rásonyi, Miklós 8 Wilhelm, Jochen 8 Dana, Rose-Anne 7 Fletcher, Jonathan 7 Herings, Peter Jean-Jacques 7 Khan, Ali 7 Kondor, Péter 7 Lepinette, Emmanuel 7 Nietert, Bernhard 7 Pagano, Marco 7 Pesaran, M. Hashem 7 Schachermayer, Walter 7 Friberg, Richard 6 Wooders, Myrna Holtz 6 Beißner, Patrick 5 Bodie, Zvi 5 Cassese, Gianluca 5 Cauchie, Séverine 5 Croitoru, Benjamin 5 Delbaen, Freddy 5 Evstigneev, Igor V. 5 Fontana, Claudio 5 Hahn, Guangsug 5 Hoesli, Martin 5 Kane, Alex 5 Marcus, Alan J. 5
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Institution
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National Bureau of Economic Research 17 Weierstraß-Institut für Angewandte Analysis und Stochastik 4 Bonn Graduate School of Economics 2 EconWPA 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Johns Hopkins University / Department of Economics 2 University of Cambridge / Department of Applied Economics 2 Universität Passau / Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Associazione Amici della Scuola Normale Superiore di Pisa 1 Books on Demand GmbH <Norderstedt> 1 Brown University / Department of Economics 1 CESifo 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Centre for International Economic Studies 1 Deutsche Forschungsgemeinschaft 1 Deutschland / Bundeswehr / Universität Hamburg 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 Federal Reserve System / Board of Governors 1 Institute of Chartered Financial Analysts / Research Foundation 1 International Association of Lawyers 1 International Center for Financial Asset Management and Engineering 1 Københavns Universitet / Økonomisk Institut 1 McMaster University / Department of Economics 1 NetLibrary, Inc 1 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 1 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 1 Union Internationale des Avocats 1 University of Bonn, Germany 1 University of Cambridge / Faculty of Economics 1 University of Chicago / Center for Research in Security Prices 1 University of Warwick / Department of Economics 1 Universität Hannover / Wirtschaftswissenschaftliche Fakultät 1 Universität Regensburg / Wirtschaftswissenschaftliche Fakultät 1 Universität Zürich / Institut für Schweizerisches Bankwesen 1 Université Paris-Dauphine (Paris IX) 1 Universiṭat Bar-Ilan / Department of Economics 1
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Published in...
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Finance and stochastics 32 International journal of theoretical and applied finance 23 Journal of mathematical economics 23 Journal of financial economics 22 Journal of banking & finance 17 NBER working paper series 16 Working paper / National Bureau of Economic Research, Inc. 13 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 12 Annals of finance 11 Discussion paper / Centre for Economic Policy Research 10 Economics letters 10 Gabler Edition Wissenschaft 10 Mathematics and financial economics 10 Research paper series / Swiss Finance Institute 10 Economic theory : official journal of the Society for the Advancement of Economic Theory 9 Mathematical finance : an international journal of mathematics, statistics and financial theory 9 Europäische Hochschulschriften / 5 8 Journal of economic theory 7 The journal of computational finance 7 CESifo working papers 6 Discussion papers / CEPR 6 Journal of economic dynamics & control 6 NBER Working Paper 6 Applied financial economics 5 Applied mathematical finance 5 Asia-Pacific financial markets 5 Bank- und finanzwirtschaftliche Forschungen 5 Decisions in economics and finance : DEF ; a journal of applied mathematics 5 International review of economics & finance : IREF 5 Journal of econometrics 5 Research paper / Quantitative Finance Research Group, University of Technology Sydney 5 SSE/EFI Working Paper Series in Economics and Finance 5 CESifo Working Paper 4 Discussion paper series / LSE Financial Markets Group 4 Journal of empirical finance 4 Journal of financial and quantitative analysis : JFQA 4 Journal of international financial markets, institutions & money 4 Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik 4 Quantitative Finance 4 Quantitative finance 4
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Source
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ECONIS (ZBW) 1,174 USB Cologne (EcoSocSci) 32 EconStor 30 RePEc 19 BASE 1
Showing 1 - 50 of 1,256
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Arbitrage with financial constraints and market power
Fardeau, Vincent - 2022
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013187807
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Identify arbitrage using machine learning on multi-stock pair trading price forecasting
Zhang, Zhijie - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013445700
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Flow-Based Arbitrage Pricing Theory
An, Yu - 2022
I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts. The modeled channel is that price impacts arise as marginal investors' risk compensation. I build a new model of price impacts that allows for common factors of flows and common...
Persistent link: https://ebtypo.dmz1.zbw/10013405781
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Externalities as Arbitrage
Hebert, Benjamin - 2022
How can we assess whether macro-prudential regulations are having their intended effects? If these regulations are optimal, their marginal benefit of addressing externalities should equal their marginal cost of distorting risk-sharing. These risk-sharing distortions will manifest as trading...
Persistent link: https://ebtypo.dmz1.zbw/10013406874
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La résolution des litiges blockchain - vers un arbitrage décentralisé ?
Constantino Ferreira, Leonel - 2022
‘’Blockchain’’ is often described as a technology that allows the prevention of conflicts. The code is thus presumed to accurately execute the will of the parties. However, blockchain technology supports economic and social interactions between humans and, as in any social environment,...
Persistent link: https://ebtypo.dmz1.zbw/10013314229
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Advertising arbitrage
Kovbasyuk, Sergei; Pagano, Marco - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013262655
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Nonlinear limits to arbitrage
Chen, Jingzhi; Cai, Charlie X.; Faff, Robert W.; Shin, … - In: The journal of futures markets 42 (2022) 6, pp. 1084-1113
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Advertising arbitrage
Kovbasjuk, Sergej; Pagano, Marco - In: Review of finance : journal of the European Finance … 26 (2022) 4, pp. 799-827
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Arbitrage Bots in Experimental Asset Markets
Angerer, Martin; Neugebauer, Tibor; Shachat, Jason - 2022
Trading algorithms are an integral component of modern asset markets. In two experimental markets for long-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary in their latency and whether they make or take market...
Persistent link: https://ebtypo.dmz1.zbw/10013308153
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, Arianna - 2022
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
Persistent link: https://ebtypo.dmz1.zbw/10013292792
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Endogenous Limits to Arbitrage and Price Informativeness
Cui, Di; Norli, Oyvind; Reindl, Johann - 2022
Theory suggests that traders will be more reluctant to trade on negative private information about an ongoing merger if their trading will cause the merger to be canceled. This paper provides evidence on the existence of such endogenous limits to arbitrage and it's consequence on the...
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Arbitrage Pricing Theory
Huberman, Gur; Wang, Zhenyu - 2022
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors. The APT,...
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Evolutionary Arbitrage
Crego, Julio A.; Kvaerner, Jens; Sommervoll, Åvald; … - 2022
The prices of exchange-traded funds (ETFs) can deviate significantly from their net asset values (NAVs). Exploiting such inefficiencies is often too costly because it involves taking positions in hundreds of underlying illiquid securities. We develop a method that identifies a liquid mimicking...
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Method for choosing appropriate investment periods to make arbitrage profit and explain stock returns
Peymany, Moslem - In: Serbian journal of management : an international … 17 (2022) 2, pp. 271-287
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Convexity arbitrage : the idea which does not work
Stádník, Bohumil - In: Cogent economics & finance 10 (2022) 1, pp. 1-16
Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in financial practice. It should provide a positive...
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No-arbitrage principle in conic finance
Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks : open access journal 8 (2020) 2/66, pp. 1-34
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to the existence of an equivalent martingale measure. Such an equivalent measure can be derived as the normal unit vector of the hyperplane that separates the attainable gain...
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A financial market with singular drift and no arbitrage
Agram, Nacira; Øksendal, Bernt K. - In: Mathematics and financial economics 15 (2021) 3, pp. 477-500
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Factor strengths, pricing errors, and estimation of risk premia
Pesaran, M. Hashem; Smith, Ron - 2021
This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...
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Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors, which are typically assumed to be strong. In this paper we consider two aspects of the APT. Firstly we relate the factors in the statistical factor model to a theoretically...
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International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012591155
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International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012592176
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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading
Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23
Purpose - Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as convexity arbitrage) in financial praxis. This...
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Arbitrage-Free Neural-SDE Market Models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - 2021
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying financial constraints and while being...
Persistent link: https://ebtypo.dmz1.zbw/10013226011
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors, which are typically assumed to be strong. In this paper we consider two aspects of the APT. Firstly we relate the factors in the statistical factor model to a theoretically...
Persistent link: https://ebtypo.dmz1.zbw/10013233142
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Collateral-Adjusted CIP Arbitrages
Georgievska, Ljubica - 2021
I show that an important no-arbitrage consistent but costly collateral rental yield contributes to about two-thirds of the standard CIP violations. I measure this yield using two approaches applied to short- and long-term CIP horizons. First, I assume that the yield is observable and proxy it...
Persistent link: https://ebtypo.dmz1.zbw/10013235376
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Fuzzy Arbitrage
Zaker, Sassan - 2021
Classical wealth management heavily relies on the linear and two-dimensional world of Modern Portfolio Theory. While this has generally worked for investors, many new investment offerings only inadequately map into the CW world. This inadequacy is a source of potentially large investor losses,...
Persistent link: https://ebtypo.dmz1.zbw/10013214420
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Arbitrage in Cost-Based Redispatch : Evidence from Germany
Schnaars, Philip; Perino, Grischa - 2021
The European Union's push towards market-based procurement of redispatch services has sparked fears of so called Inc-Dec-Gaming, i.e. the incentive to engage in arbitrage between the national wholesale market and the local redispatch market. The latter would increase both likelihood and severity...
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On Stablecoin Price Processes and Arbitrage
Pernice, Ingolf Gunnar Anton - 2021
This study applies the Caginalp & Balenovic (1999) model for asset flow dynamics to fully collateralized stablecoins. The analysis provides novel insights on how trend-reversion and reactions to peg deviations work together to keep stablecoin prices close to the price they are targeting. A...
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Dynamics of Arbitrage
Ederington, Louis H.; Fernando, Chitru S.; Holland, … - 2021
We study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the NYMEX futures contract delivery point but not at other storage locations where, instead, operational factors explain most inventory changes. We add to the...
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ETF Arbitrage Under Liquidity Mismatch
Pan, Kevin; Zeng, Yao - 2021
A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the fragility of these ETFs. We focus on corporate bond ETFs...
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An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Christensen, Jens Henrik Eggert; Diebold, Francis X.; … - 2021
The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed,...
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Explicit No Arbitrage Domain for Sub-SVIs via Reparametrization
Mingone, Arianna; Martini, Claude - 2021
The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 functions altogether with a few root finding procedures. We study here the case of some sub-SVIs (all with 3...
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Another Arbitrage-Free Affine Model of TIPS Yields with Embedded Liquidity Risk
Durham, J. Benson - 2021
This study outlines an affine term structure model (ATSM) of TIPS that decomposes yields into real expected rates, real term premiums, and liquidity premiums. The estimation incorporates an observable liquidity factor that more comprehensively captures limits to arbitrage implied by yield curve...
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Arbitrage Pricing under Uncertainty
Rocciolo, Francesco - 2021
This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty.First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability distributions. The setting delivers the analog of...
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Market Selection and the Absence of Arbitrage
Elmiger, Sabine - 2021
A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and non-fundamental risk. This paper shows that the...
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Neural Networks and Arbitrage in the VIX
Osterrieder, Joerg - 2020
The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is considered by many market participants as a common measure of market risk and investors' sentiment, representing the market's expectation of the 30-day-ahead looking implied volatility obtained from real-time prices of options...
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Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?
Barroso, Pedro - 2020
We investigate whether transaction costs, arbitrage risk, and short-sale constraints explain the abnormal returns of volatility-managed equity portfolios. Even using five cost-mitigation strategies, after accounting for transaction costs, volatility management of common asset-pricing factors...
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Covered Interest Parity Arbitrage
Rime, Dagfinn - 2020
To understand deviations from Covered Interest Parity (CIP) it is crucial to account for heterogeneity in funding costs---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free...
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ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
Brown, David C. - 2020
Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging. We use the exchange traded fund (ETF) primary market to study non-fundamental demand. Unique to the ETF market, specialized arbitrageurs called authorized participants correct...
Persistent link: https://ebtypo.dmz1.zbw/10012854947
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Arbitrage-Free XVA
Bichuch, Maxim - 2020
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive backward stochastic differential equations (BSDEs) associated with the...
Persistent link: https://ebtypo.dmz1.zbw/10012855273
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Multifactor Models and Their Consistency with the APT
Cooper, Ilan - 2020
We examine the consistency of several prominent multifactor models from the empirical asset pricing literature with the Arbitrage Pricing Theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a rich cross-section (associated with 42 major CAPM...
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Anomaly Discovery and Arbitrage Trading
Dong, Xi - 2020
We analyze a model of anomaly discovery and test its new predictions on both asset prices and arbitrageurs' trading. Consistent with existing evidence, the discovery of an anomaly reduces its magnitude and increases its correlation with other anomalies. Using 99 anomalies, we test the new...
Persistent link: https://ebtypo.dmz1.zbw/10012856699
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Advertising Arbitrage
Kovbasyuk, Sergey - 2020
Arbitrageurs with a short investment horizon gain from accelerating price discoveryby advertising their private information. However, advertising many assets mayoverload investors' attention, reducing the number of informed traders per assetand slowing price discovery. So arbitrageurs optimally...
Persistent link: https://ebtypo.dmz1.zbw/10012856700
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Arbitrage Crashes : Slow-Moving Capital or Market Segmentation?
Dick-Nielsen, Jens - 2020
Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with depressed convertible bond prices implying negative option values, some investors continued to buy strictly dominated straight bonds from the same issuers. This finding suggests...
Persistent link: https://ebtypo.dmz1.zbw/10012856844
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The Impact of Arbitrage on Market Liquidity
Rösch, Dominik - 2020
I study how arbitrage affects liquidity by analyzing several billion trades in the AmericanDepositary Receipt (ADR) market from 2001 to 2016. Price deviations persist, on average, for 12 minutes, and mainly arise because of price pressure. Impulse response functions estimated at 1-minute...
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Arbitrage Pricing and Investment Performance in the Nigerian Capital Market
Mark-Egart, Dorah Budonyefa - 2020
This paper applied the multi factor Arbitrage Pricing Theory to explore the relationship between investment performance and selected macroeconomic variables in the Nigerian Capital market. Thus, the general purpose was to test the applicability of the Arbitrage Pricing Theory on investment...
Persistent link: https://ebtypo.dmz1.zbw/10012840250
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No-Arbitrage Pricing of GDP-Linked Bonds
Eguren Martin, Fernando - 2020
We use a no-arbitrage term structure model of equity yields computed from the prices of dividend swaps to estimate the yields on hypothetical bonds with cash-flows indexed to the level of US GDP. This provides a novel approach for estimating the possible relative cost of conventional and...
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The Economic Value of TIPS Arbitrage Mispricing
Dedes, Vasilis - 2020
Rational frictionless asset pricing models imply that inflation swap rates and break-even inflation rates with same maturity must be equal. The data, however, suggest a persistent positive difference between these two quantities, which the literature attributes to mispricing of Treasury...
Persistent link: https://ebtypo.dmz1.zbw/10012844939
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A New Arbitrage-Free Parametric Volatility Surface
Antonov, Alexandre - 2020
This paper describes a new parametric volatility surface that is arbitrage free, extremely rich and flexible, and has closed-form expressions for both European option values and local volatilities. Our surface is based on the work of Carr and Pelts, for which we provide a simple derivation and a...
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