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On the Role of Arbitrageurs in Rational Markets
Basak, Suleyman; Croitoru, Benjamin - C.E.P.R. Discussion Papers - 2004
markets. Arbitrage opportunities between redundant risky assets arise endogenously in an economy populated by rational …, heterogeneous investors facing restrictions on leverage and short sales. An arbitrageur, indulging in costless, riskless arbitrage … arbitrageur lacks market power, they always take on the largest arbitrage position possible. When the arbitrageur behaves …
Persistent link: https://www.econbiz.de/10005123691
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The Dynamics of Financially Constrained Arbitrage
Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …
Persistent link: https://www.econbiz.de/10011184076
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Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
Acharya, Viral V; Carpenter, Jennifer - C.E.P.R. Discussion Papers - 2002
This Paper analyses corporate bond valuation and optimal call and default rules when interest rates and firm value are …
Persistent link: https://www.econbiz.de/10005123555
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Agency Conflicts, Investment and Asset Pricing
Albuquerque, Rui; Wang, Neng - C.E.P.R. Discussion Papers - 2005
Corporations in many countries are run by controlling shareholders whose cash flow rights in the firm are substantially smaller than their control rights. This separation of ownership and control allows the controlling shareholders to pursue private benefits at the cost of minority investors by...
Persistent link: https://www.econbiz.de/10005497980
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Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt
Cooper, Ian; Nyborg, Kjell G - C.E.P.R. Discussion Papers - 2008
determines the correct treatment in practice. We also discuss implementation of the valuation procedure using the CAPM. …
Persistent link: https://www.econbiz.de/10005504394
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Strategic Advantage and the Optimal Exercise of Entry Options
Perotti, Enrico C; Rossetto, Silvia - C.E.P.R. Discussion Papers - 2001
We investigate the timing and the valuation of strategic investment aimed at enhancing entry opportunities in related …
Persistent link: https://www.econbiz.de/10005662306
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - Deutsche Bundesbank - 2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010957121
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Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
Joenväärä, Juha; Kosowski, Robert - C.E.P.R. Discussion Papers - 2015
We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We...
Persistent link: https://www.econbiz.de/10011272713
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When Everyone Runs for the Exit
Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009
The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...
Persistent link: https://www.econbiz.de/10005082543
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - Deutsche Bundesbank - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10005082768