Narrow search
Showing 1 - 10 of 308
Cover Image
Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
Cover Image
Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005561735
Cover Image
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 … (with transaction costs), in which price differences are studied using levels of arbitrage activity. For the empirical …-the-counter system). In particular, we study the degree of arbitrage activity for different segments of the PSE and the evolution of …
Persistent link: https://www.econbiz.de/10005077009
Cover Image
Electrodynamical model of quasi-efficient financial market
Ilinski, Kirill; Stepanenko, Alexander - EconWPA - 1998
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications, whilst the practical side of the problem has clear relevance to...
Persistent link: https://www.econbiz.de/10005561574
Cover Image
Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …
Persistent link: https://www.econbiz.de/10005413135
Cover Image
DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …
Persistent link: https://www.econbiz.de/10005413097
Cover Image
Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
Sansone, Alessandro; Garofalo, Giuseppe - EconWPA - 2005
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with...
Persistent link: https://www.econbiz.de/10005413058
Cover Image
Optimal Convergence Trading
KArgin, Vladislav - EconWPA - 2004
This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein …
Persistent link: https://www.econbiz.de/10005134713
Cover Image
Dynamic State Tameness
Londoño, Jaime - EconWPA - 2005
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the...
Persistent link: https://www.econbiz.de/10005134649
Cover Image
State Tameness: A New Approach for Credit Constrains
Londoño, Jaime A. - EconWPA - 2003
give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the …
Persistent link: https://www.econbiz.de/10005413227