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Previous tests of stock index arbitrage models have rejected the no-arbitrage constraint imposed by these models. This paper provides a detailed analysis of actual S&P 500 arbitrage trades and directly relates these trades to the predictions of index arbitrage models. An analysis of arbitrage...
Persistent link: https://www.econbiz.de/10005410702
It has long been market folklore that the best time to buy stocks is when individual investors are bearish. We examine …
Persistent link: https://www.econbiz.de/10005515066
Persistent link: https://www.econbiz.de/10005724298