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Year of publication
Subject
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Arbitrage Pricing 1,142 Arbitrage pricing 1,140 Theorie 740 Theory 737 Arbitrage 357 CAPM 266 Portfolio-Management 168 Portfolio selection 166 Optionspreistheorie 149 Option pricing theory 142 Yield curve 118 Zinsstruktur 118 Estimation 95 Schätzung 94 Börsenkurs 87 Share price 87 Capital income 85 Kapitaleinkommen 85 Derivat 73 Derivative 73 USA 67 United States 66 Financial market 65 Finanzmarkt 65 Kapitalmarkttheorie 63 Aktienmarkt 60 Stock market 59 Financial economics 58 Martingal 56 Martingale 56 Volatility 56 Volatilität 56 Risikoprämie 54 Risk premium 54 Transaction costs 51 Transaktionskosten 51 Unvollkommener Markt 50 Incomplete market 49 Stochastic process 49 Stochastischer Prozess 49
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Online availability
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Free 399 Undetermined 154
Type of publication
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Book / Working Paper 659 Article 569
Type of publication (narrower categories)
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Article in journal 486 Aufsatz in Zeitschrift 486 Graue Literatur 276 Non-commercial literature 276 Working Paper 262 Arbeitspapier 258 Hochschulschrift 64 Thesis 59 Aufsatz im Buch 54 Book section 54 Lehrbuch 16 Textbook 15 Collection of articles written by one author 11 Sammlung 11 Bibliografie enthalten 9 Bibliography included 9 Glossar enthalten 6 Glossary included 6 Collection of articles of several authors 4 Sammelwerk 4 Commentary 2 Conference paper 2 Forschungsbericht 2 Kommentar 2 Konferenzbeitrag 2 Konferenzschrift 2 Systematic review 2 Übersichtsarbeit 2 Amtsdruckschrift 1 Article 1 Bibliografie 1 CD-ROM, DVD 1 Case study 1 Conference proceedings 1 Einführung 1 Fallstudie 1 Festschrift 1 Government document 1 Mikroform 1 Rezension 1
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Language
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English 1,105 German 70 Undetermined 34 Spanish 12 French 4 Italian 2 Polish 1
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Author
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Vayanos, Dimitri 17 Platen, Eckhard 16 Rudebusch, Glenn D. 16 Diebold, Francis X. 14 Le Van, Cuong 13 Christensen, Jens H. E. 10 Gromb, Denis 9 Kabanov, Jurij M. 9 Björk, Tomas 8 Linton, Oliver 8 Page, Frank H. 8 Pesaran, M. Hashem 8 Rásonyi, Miklós 8 Sun, Yeneng 8 Wilhelm, Jochen 8 Connor, Gregory 7 Fletcher, Jonathan 7 Herings, Peter Jean-Jacques 7 Hoesli, Martin 7 Khan, Ali 7 Lepinette, Emmanuel 7 Nietert, Bernhard 7 Pagano, Marco 7 Cauchie, Séverine 6 Entorf, Horst 6 Jamin, Gösta 6 Jouini, Elyès 6 Kondor, Péter 6 Schachermayer, Walter 6 Wooders, Myrna Holtz 6 Beaulieu, Marie-Claude 5 Bodie, Zvi 5 Cassese, Gianluca 5 Croitoru, Benjamin 5 Fontana, Claudio 5 Friberg, Richard 5 Hahn, Guangsug 5 Kane, Alex 5 Lucas, André 5 Marcus, Alan J. 5
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Institution
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National Bureau of Economic Research 17 International Monetary Fund (IMF) 4 Weierstraß-Institut für Angewandte Analysis und Stochastik 4 Institut für Schweizerisches Bankwesen <Zürich> 3 London School of Economics (LSE) 3 Bonn Graduate School of Economics 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 EconWPA 2 Economic Research Southern Africa (ERSA) 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Faculty of Economics, University of Cambridge 2 HAL 2 Johns Hopkins University / Department of Economics 2 National Centre of Competence in Research North South <Bern> 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 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 Banca d'Italia 1 Books on Demand GmbH <Norderstedt> 1 Brown University / Department of Economics 1 Centre for International Economic Studies 1 Deutsche Forschungsgemeinschaft 1 Deutschland / Bundeswehr / Universität Hamburg 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 Federal Reserve System / Board of Governors 1 Finance Discipline Group, Business School 1 Frankfurt School of Finance & Management 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 Manchester Business School 1 McMaster University / Department of Economics 1 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 1 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 1 Swiss National Centre of Competence in Research North South <Bern> 1 Tinbergen Institute 1
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Published in...
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Finance and stochastics 32 International journal of theoretical and applied finance 24 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 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 NBER Working Paper 8 Gabler Edition Wissenschaft 7 Journal of economic theory 7 The journal of computational finance 7 Journal of economic dynamics & control 6 Working Paper 6 Applied financial economics 5 Applied mathematical finance 5 Asia-Pacific financial markets 5 CESifo working papers 5 Decisions in economics and finance : DEF ; a journal of applied mathematics 5 Discussion papers / CEPR 5 International review of economics & finance : IREF 5 Journal of econometrics 5 Research paper / Quantitative Finance Research Group, University of Technology Sydney 5 CESifo Working Paper 4 Discussion paper series / LSE Financial Markets Group 4 Europäische Hochschulschriften / 5 4 IMF Working Papers 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 SSE EFI working paper series in economics and finance 4
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Source
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ECONIS (ZBW) 1,159 RePEc 44 USB Cologne (business full texts) 19 EconStor 5 BASE 1
Showing 1 - 50 of 1,228
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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/10012499632
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
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Arbitrage with financial constraints and market power
Fardeau, Vincent - 2022
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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
Kovbasyuk, Sergei; Pagano, Marco - 2022
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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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Identify arbitrage using machine learning on multi-stock pair trading price forecasting
Zhang, Zhijie - 2022
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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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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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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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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...
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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...
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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...
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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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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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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,...
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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...
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The role of factor strength and pricing errors for estimation and inference in asset pricing models
Pesaran, M. Hashem; Smith, Ron - 2019
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...
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Smart stochastic discount factors
Korsaye, Sofonias A.; Quaini, Alberto; Trojani, Fabio - 2021 - This version: June 30, 2021
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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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International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
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International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10012695328
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Inflación y rendimientos en mercados emergentes : el caso de Argentina
Pesce, Gabriela; Pedroni, Florencia Verónica - In: Revista de métodos cuantitativos para la economía y … 32 (2021), pp. 341-375
This paper aims to carry out a preliminary analysis of the arbitrage pricing theory in Argentine capital market, with special emphasis on inflation as a variable of interest for an emerging country, an underdeveloped financial market, and a period under analysis with inflationary trends and...
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron P. - 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/10012582064
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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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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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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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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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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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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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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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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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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,...
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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...
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10013322194
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Investment Valuation and Asset Pricing : Models and Methods
Kolari, James W.; Pynnönen, Seppo - 2023
Chapter 1: Portfolio Theory and Practice -- Chapter 2: Capital Market Conditions -- Chapter 3: Capital Asset Pricing Model (CAPM) -- Chapter 4: The Market Model -- Chapter 5: The Zero-Beta CAPM -- Chapter 6: Alternative CAPM Specifications -- Chapter 7: Arbitrage Pricing Theory -- Chapter 8:...
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No Arbitrage in Insurance and the QP-Rule
Artzner, Philippe - 2020
This paper is an attempt to study fundamentally the valuation of insurance contracts. We start from the observation that insurance contracts are inherently linked to financial markets, be it via interest rates, or – as in hybrid products, equity-linked life insurance and variable annuities –...
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020
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Arbitrage and beliefs
Khorrami, Paymon; Zentefis, Alexander K. - 2020
We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset price movements redistribute wealth across markets (e.g., equities rise as bonds fall) and (ii) some stabilizing force keeps valuation ratios stationary (e.g., cash flow growth...
Persistent link: https://ebtypo.dmz1.zbw/10012260973
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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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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Linda - 2020
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On relation between no-arbitrage pricing principle and Modigliani-Miller Propositions
Shemetov, Valery V. - In: ACRN journal of finance and risk perspectives 9 (2020) 1, pp. 148-176
An extension of Merton’s (1974) model (EMM) taking account of the firm’s payments and generating a new statistical distribution for the firm value is suggested. In an open log-value space, this distribution evolves from the initially normal to negatively skewed one. When payments are zero or...
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Advertising arbitrage
Kovbasyuk, Sergey; Pagano, Marco - 2020
Arbitrageurs with a short investment horizon gain from accelerating price discovery by advertising their private information. However, advertising many assets may overload investors' attention, reducing the number of informed traders per asset and slowing price discovery. So arbitrageurs...
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Advertising arbitrage
Kovbasjuk, Sergej; Pagano, Marco - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012494289
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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...
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