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Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic
Hanousek, Jan; Nemecek, Libor - EconWPA - 2001
If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related question is whether two parallel emerging markets offering more or less the same securities but using different institutional designs, can behave as a single, fully integrated...
Persistent link: https://www.econbiz.de/10005077009
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Value Creation and Profit Optimization
Winther, K. Tobias - EconWPA - 2002
The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...
Persistent link: https://www.econbiz.de/10005561773
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Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market
Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002
We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is … significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …
Persistent link: https://www.econbiz.de/10005413035
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Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
Hu, Shing-yang - EconWPA - 1997
This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using … trading turnover as a measure of liquidity and the 1976-1993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks …
Persistent link: https://www.econbiz.de/10005413235
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Advertising, Pricing & Market Structure in Competitive Matching Markets
Bataille, Edner; Julien, Benoit - EconWPA - 2005
This paper develops a model of pricing and advertising in a matching environment with capacity constrained sellers. Sellers' expenditure on directly informative advertising attracts consumers only probabilistically. Consumers who happen to observe advertisements randomize over the advertised...
Persistent link: https://www.econbiz.de/10005076903
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About discrete hedging and option pricing
Yakovlev, Dmitry; Zhabin, Dmitry - EconWPA - 2003
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for other classes of distribution functions too. It is shown that there...
Persistent link: https://www.econbiz.de/10005077003
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COMPETITION AND CONTESTABILITY IN CENTRAL AND EASTERN EUROPEAN BANKING MARKETS
Yildirim, Semih; Philippatos, George C. - EconWPA - 2003
This abstract will be reformatted upon submission. You don't need to format for line-breaks here!!!!! This will be a new paragraph but you can't indent - sorry. This study analyzes the evolution of competitive conditions in the Banking industries of fourteen Central and Eastern European (CEE)...
Persistent link: https://www.econbiz.de/10005077032
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New types of non-trade related participation in commodity futures markets
Rutten, Lamon - EconWPA - 2003
This paper explores the growing involvement of new types of non- commodity-sector-related players in commodity futures markets. This includes a discussion on the role of managed funds, the impact of the use of commodity warrants, and the direct involvement of banks. The impact of this new form...
Persistent link: https://www.econbiz.de/10005077040
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The Optimal Design of a Market
Brusco, Sandro; Jackson, Matthew O. - EconWPA - 1997
We study the optimal design of the rules of trade in a two-period market given that agents arrive at different times and may only trade with agents present contemporaneously. First period agents face a fixed cost of trading across periods, and their decisions of whether or not to trade in the...
Persistent link: https://www.econbiz.de/10005077051
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SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS.
Martinez-Resano, J. Ramon - EconWPA - 2005
with recommendations from relevant economic theory. Finally, political economy issues arising in implementation of …
Persistent link: https://www.econbiz.de/10005134902