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Year of publication
Subject
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Arbitrage 2,680 Theorie 1,223 Theory 1,216 Börsenkurs 375 Share price 373 Arbitrage Pricing 350 Arbitrage pricing 350 USA 306 Portfolio-Management 305 Portfolio selection 304 United States 302 CAPM 274 Capital income 231 Kapitaleinkommen 231 Derivat 223 Derivative 223 Anlageverhalten 213 Behavioural finance 213 Schätzung 182 Estimation 179 Efficient market hypothesis 163 Effizienzmarkthypothese 163 Welt 146 World 144 Index-Futures 135 Index futures 134 Risiko 132 Volatilität 131 Risk 130 Volatility 130 Optionspreistheorie 127 Option pricing theory 126 Finanzmarkt 124 Financial market 123 Hedging 109 Transaktionskosten 108 Transaction costs 107 Yield curve 105 Zinsstruktur 105 Aktienmarkt 96
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Online availability
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Free 900 Undetermined 545
Type of publication
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Article 1,399 Book / Working Paper 1,297
Type of publication (narrower categories)
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Article in journal 1,306 Aufsatz in Zeitschrift 1,306 Graue Literatur 502 Non-commercial literature 502 Working Paper 476 Arbeitspapier 467 Aufsatz im Buch 76 Book section 76 Hochschulschrift 71 Thesis 55 Collection of articles written by one author 17 Sammlung 17 Amtsdruckschrift 15 Government document 15 Collection of articles of several authors 14 Sammelwerk 14 Bibliografie enthalten 9 Bibliography included 9 Commentary 7 Kommentar 7 Case study 6 Conference paper 6 Fallstudie 6 Konferenzbeitrag 6 Aufsatzsammlung 5 Forschungsbericht 4 Conference proceedings 3 Handbook 3 Handbuch 3 Konferenzschrift 3 Mehrbändiges Werk 3 Multi-volume publication 3 Lehrbuch 2 Amtliche Publikation 1 Article 1 Bibliografie 1 Biografie 1 Biography 1 Einführung 1 Interview 1
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Language
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English 2,577 German 78 French 22 Undetermined 7 Italian 4 Spanish 3 Polish 2 Portuguese 2 Finnish 1 Croatian 1 Norwegian 1 Slovenian 1
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Author
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Vayanos, Dimitri 34 Jarrow, Robert A. 21 Gromb, Denis 19 Jouini, Elyès 19 Stübinger, Johannes 19 Krauss, Christopher 16 Chichilnisky, Graciela 13 Fung, Joseph K. W. 13 Jiang, Wei 13 Acharya, Viral V. 12 Goldstein, Itay 12 Kempf, Alexander 12 Rime, Dagfinn 12 Stein, Jeremy C. 11 Dow, James 10 Ghosh, Dilip K. 10 Page, Frank H. 10 Stambaugh, Robert F. 10 Zigrand, Jean-Pierre 10 Fabozzi, Frank J. 9 Rahi, Rohit 9 Yuan, Yu 9 Apreda, Rodolfo 8 Branch, Ben Shirley 8 Bühler, Wolfgang 8 Dionne, Georges 8 Edmans, Alex 8 Guirguis, Michel 8 Kallal, Hédi D. 8 Syrstad, Olav 8 Taylor, Alan M. 8 Tse, Yiuman 8 Whaley, Robert E. 8 Agarwal, Vikas 7 Fardeau, Vincent 7 Fontana, Claudio 7 Franzoni, Francesco 7 Jetley, Gaurav 7 Kozhan, Roman 7 Le Van, Cuong 7
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Institution
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National Bureau of Economic Research 43 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 5 Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg> 3 Centre for Economic Policy Research 2 Deutsche Forschungsgemeinschaft 2 Rodney L. White Center for Financial Research 2 University of Strathclyde / Department of Economics 2 Associazione Amici della Scuola Normale Superiore di Pisa 1 Birmingham Business School 1 Bonn Graduate School of Economics 1 Centre for Analytical Finance <Århus> 1 Centro de Estudios Macroeconómicos de Argentina / Universidad 1 Chambre de commerce et d'industrie de Paris 1 Cornell University / Cornell Food and Nutrition Policy Program 1 Deutsche Vereinigung für Finanzanalyse und Anlageberatung 1 Deutschland / Bundeswehr / Universität Hamburg 1 Ekonomiska forskningsinstitutet <Stockholm> 1 European University Institute / Department of Economics 1 Federal Reserve Bank of Chicago / Research Dept 1 Federal Reserve Bank of New York 1 Institut für Höhere Studien 1 Institute of Finance and Accounting <London> 1 International Association of Lawyers 1 Queen Mary College / Department of Economics 1 Research Seminar in International Economics 1 Russell Sage Foundation 1 Slowenien / Državna Arbitraža 1 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn 1 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 1 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> 1 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 1 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 1 Stanford Institute for Economic Policy Research 1 Svenska Handelshögskolan <Helsinki> 1 Technische Universiteit Delft / Department of Mathematics and Computer Science 1 USA / Committee on Governmental Affairs / Permanent Subcommittee on Investigations 1 Union Internationale des Avocats 1 Universitat Pompeu Fabra / Departament d'Economia i Empresa 1 University of Chicago / Center for Research in Security Prices 1 University of Hong Kong / School of Economics and Finance 1
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Published in...
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The journal of futures markets 59 Journal of financial economics 43 NBER working paper series 43 The review of financial studies 36 Working paper / National Bureau of Economic Research, Inc. 35 Journal of banking & finance 34 The journal of finance : the journal of the American Finance Association 34 Discussion paper / Centre for Economic Policy Research 32 Mathematical finance : an international journal of mathematics, statistics and financial theory 29 NBER Working Paper 27 Finance and stochastics 23 International review of financial analysis 21 Pacific-Basin finance journal 21 International journal of theoretical and applied finance 18 Finance research letters 17 Journal of financial and quantitative analysis : JFQA 17 Journal of financial markets 17 Journal of international financial markets, institutions & money 17 Discussion papers / CEPR 16 Energy economics 16 Journal of empirical finance 16 Journal of mathematical economics 16 Research paper series / Swiss Finance Institute 16 International review of economics & finance : IREF 15 Mathematics and financial economics 15 Discussion paper / LSE Financial Markets Group 14 Quantitative finance 14 Annals of finance 12 Applied economics 12 Review of quantitative finance and accounting 12 Série des documents de travail / Centre de Recherche en Économie et Statistique 12 Discussion paper / Tinbergen Institute 11 Management science : journal of the Institute for Operations Research and the Management Sciences 11 Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques 11 The European journal of finance 11 Journal of international money and finance 10 Review of finance : journal of the European Finance Association 10 The journal of business : B 10 Working paper 10 Financial analysts' journal : FAJ 9
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Source
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ECONIS (ZBW) 2,686 EconStor 10
Showing 1 - 50 of 2,696
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Is the value effect due to M&A deals? : evidence from the Italian stock market
Roma, Antonio - In: Economic notes 51 (2022) 1, pp. 1-18
Persistent link: https://ebtypo.dmz1.zbw/10012795400
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Shadow loans and regulatory arbitrage : evidence from China
Liu, Xiaoxi; Liu, Jing; Shim, Ilhyock - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012888428
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Demand-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013175025
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
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Price and liquidity discovery in European sovereign bonds and futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...
Persistent link: https://ebtypo.dmz1.zbw/10013194146
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Arbitrage with financial constraints and market power
Fardeau, Vincent - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013256022
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Sequential entry in llliquid markets
Fardeau, Vincent - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013256033
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Arbitrage power and the disappearing financialized firm
Palan, Ronen; Phillips, Richard - In: Finance and society 8 (2022) 1, pp. 22-41
Modern corporations have increasingly been adopting a decentred, layered, and multi-jurisdictional form as a strategy of boundary manipulation known amongst tax lawyers and accountants as "regulatory arbitrage". The argument we put forward in this article is that the scholarly work that treats...
Persistent link: https://ebtypo.dmz1.zbw/10013194366
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Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP
Henide, Karim - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 74-88
This paper identifies the "idiosyncratic basis", the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollardenominated bonds relative to their hypothetical euro-denominated...
Persistent link: https://ebtypo.dmz1.zbw/10013202388
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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
Persistent link: https://ebtypo.dmz1.zbw/10013262655
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The risk-neutral non-additive probability with market frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory bulletin 10 (2022) 1, pp. 13-25
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
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Pricing options with vanishing stochastic volatility
Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16
In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...
Persistent link: https://ebtypo.dmz1.zbw/10013368982
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The profitability of lead-lag arbitrage at high-frequency
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013370349
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The profitability of lead-lag arbitrage at high-frequency
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013380798
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Expectations and term premia in EFSF bond yields
Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022
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Persistent link: https://ebtypo.dmz1.zbw/10013384831
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Persistence of investor sentiment and market mispricing
Han, Xiao; Sakkas, Nikolaos; Danbolt, Jo; Eshraghi, Arman - In: The financial review : the official publication of the … 57 (2022) 3, pp. 617-640
Persistent link: https://ebtypo.dmz1.zbw/10013348725
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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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Effect of exchange-traded funds arbitrage transactions on their underlying holdings
Boadu-Sebbe, Gregory - 2022
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Identify arbitrage using machine learning on multi-stock pair trading price forecasting
Zhang, Zhijie - 2022
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The Lagrangian, constraint qualifications and economics
Flåm, Sjur D.; Rückmann, Jan-J. - In: Mathematical methods of operations research : ZOR 96 (2022) 2, pp. 215-232
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Covered interest parity arbitrage
Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav - In: The review of financial studies 35 (2022) 11, pp. 5185-5227
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Arbitrage constraints and behaviour of volatility components : evidence from a natural experiment
Srivastava, Pranjal; Jacob, Joshy - 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...
Persistent link: https://ebtypo.dmz1.zbw/10013463093
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The value of arbitrage
Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013167713
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Demand-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013172797
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Submodular financial markets with frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory 73 (2022) 2/3, pp. 721-744
Persistent link: https://ebtypo.dmz1.zbw/10013277391
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Testing the accruals anomaly based on the speed of price adjustment
Choy, Siu Kai; Lobo, Gerald J.; Tan, Yongxian - In: The European journal of finance 28 (2022) 16, pp. 1664-1684
Persistent link: https://ebtypo.dmz1.zbw/10013532256
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Pricing options with vanishing stochastic volatility
Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16
In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...
Persistent link: https://ebtypo.dmz1.zbw/10013473177
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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
Persistent link: https://ebtypo.dmz1.zbw/10013490592
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Modeling momentum and reversals
Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10
Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...
Persistent link: https://ebtypo.dmz1.zbw/10013555665
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Gaussian process regression for swaption cube construction under no-arbitrage constraints
Cousin, Areski; Deleplace, Adrien; Misko, Adrien - In: Risks : open access journal 10 (2022) 12, pp. 1-19
Persistent link: https://ebtypo.dmz1.zbw/10013568055
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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,...
Persistent link: https://ebtypo.dmz1.zbw/10013294606
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Variation in Liquidity and Costly Arbitrage
Kottimukkalur, Badrinath - 2022
This paper explores the relationship between variation in liquidity and mispricing. Mispricing is severe among stocks with high variation in liquidity. Among underpriced (overpriced) stocks, stocks with high variation in liquidity are more underpriced (overpriced). The mispricing is more...
Persistent link: https://ebtypo.dmz1.zbw/10013404633
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Sharks in the Dark : Quantifying Hft Dark Pool Latency Arbitrage
Foley, Sean; O'Neill, Peter; Aquilina, Matteo; Ruf, Thomas - 2022
We investigate stale reference pricing and liquidity provision in dark pools using proprietary, participant-level regulatory data. We show a substantial amount of stale trading occurs, imposing large adverse selection costs on passive dark pool participants. Consistent with these costs, HFTs...
Persistent link: https://ebtypo.dmz1.zbw/10013404898
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International High-Frequency Arbitrage for Cross-Listed Stocks
Dionne, Georges; Poutré, Cédric; yergeau, gabriel - 2022
We explore arbitrage activities for cross-listed stocks and develop a methodology to study the effect of information latency in high-frequency trading. The strategy is a hybrid between triangular arbitrage and pairs trading. The strategy can be generalized to multiple cross-listed stocks...
Persistent link: https://ebtypo.dmz1.zbw/10013405528
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Coreversal : The Booms and Busts of Arbitrage Activities in China
Liu, Xin; Qiu, Zhigang; Shen, Luyao; Zheng, Weinan - 2022
This paper investigates arbitrage activities in China’s stock market to examine whether arbitrageurs destabilize stock prices. We focus on reversal anomaly and construct a measure of arbitrage intensity, coreversal, which captures the abnormal return correlation among stocks on which a...
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Regulatory Arbitrage and the Persistence of Financial Misconduct
Honigsberg, Colleen; Hu, Edwin; Jackson, Jr., Robert J. - 2022
Financial advisor misconduct often has devastating consequences, leading lawmakers to seek tightened investor protections at the federal level. But many advisors can choose whether to be federally regulated or instead overseen by state insurance regulators, giving advisors with a history of...
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The Role of Arbitrage Risk in the Max Effect : Evidence from the Korean Stock Market
Kim, Donghoon; Goh, Jihoon - 2022
This study investigates whether the MAX effect on the Korean stock market is more significant for overpriced stocks. Defining MAX as the maximum daily return for the previous month following Bali et al. (2011), we show that long low MAX and short high MAX strategies earn significantly positive...
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SPAC Mergers, IPOs, and the PSLRA's Safe Harbor : Unpacking Claims of Regulatory Arbitrage
Rose, Amanda M. - 2022
Communications in connection with an initial public offering (IPO) are excluded from the safe harbor for forward-looking statements contained in the Private Securities Litigation Reform Act of 1995 (PSLRA). Not surprisingly, IPO issuers do not share projections publicly—the liability risk is...
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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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Pandemic Arbitrage in Foreign Direct Investments : A Perspective on the Modes of Entry
Cheung, Paul; George, Ammu; Xie, Taojun; Zheng, Huanhuan; … - 2022
Foreign Direct Investments (FDI) are often considered long-term and less sensitive to global shocks as they involve large amounts of capital investment that are costly to reverse. This study examines whether a pandemic arbitrage through “distance” in COVID-19 infection rates impacts FDI....
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Latency Arbitrage and Frequent Batch Auctions
Zhang, Zeyu; Ibikunle, Gbenga - 2022
We investigate the relationship between latency arbitrage and trading via frequent batch auctions (FBA). We show that increases in single and cross-market latency arbitrage opportunities (LAOs) are linked to an economically meaningful increase in FBA activity, which implies that slower traders...
Persistent link: https://ebtypo.dmz1.zbw/10013306667
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Treasury Bond Price and Yield Curve Prediction via No Arbitrage Arguments and Machine Learning
Zhang, Weiping; Yang, Qing; Tian, Ruyan; Ye, Tingting; … - 2022
This paper proposes a novel bond return (price or yield curve) prediction methodology, unifying the classical no arbitrage pricing framework, which is ubiquitous and serves as the fundamental theoretical building block in mathematical finance, and empirical asset (bond) pricing methodologies,...
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A Test of the Modigliani-Miller Theorem, Dividend Policy and Algorithmic Arbitrage in Experimental Asset Markets
Neugebauer, Tibor; Shachat, Jason; Szymczak, Wiebke - 2022
Modigliani and Miller showed that the market value of the company is independent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the MM theorem in a complete market with two simultaneously traded assets, employing...
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Renminbi Arbitrage Among Taiwan, Hong Kong and Mainland China
Yeh, Kuo-Chun; HO, Tai-kuang; LIN, Ya-chi - 2022
Since September 1, 2014, the renminbi (RMB) offshore market in Taiwan has been started on according a cross-strait MOU. A completed RMB market in the Chinese Economic Area therefore has been established. Due to political and economic disruptions, such as the aftermath of the global tsunami,...
Persistent link: https://ebtypo.dmz1.zbw/10013308063
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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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Arbitrage Problems with Reflected Geometric Brownian motion
Buckner, Dean; Dowd, Kevin; Hulley, Hardy - 2022
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such a model is unsuitable for contingent claim valuation because it violates even the weakest...
Persistent link: https://ebtypo.dmz1.zbw/10013308223
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Shadow Loans and Regulatory Arbitrage : Evidence from China
Liu, Xiaoxi; Liu, Jing; Shim, Ilhyock - 2022
This paper examines how Chinese banks used on-balance sheet shadow loans for regulatory arbitrage and whether the financial market priced in the banks’ use of shadow loans and the resulting vulnerabilities in 2016–2020. It finds that banks chose to window dress their regulatory capital ratio...
Persistent link: https://ebtypo.dmz1.zbw/10013295606
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