Narrow search
Showing 1 - 10 of 33
Cover Image
Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
Cover Image
Arbitrage-free models of stocks and bonds
Durham, J. Benson - Federal Reserve Bank of New York - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and …
Persistent link: https://www.econbiz.de/10010735679
Cover Image
Understanding mortgage spreads
Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - Federal Reserve Bank of New York - 2014
Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...
Persistent link: https://www.econbiz.de/10011027234
Cover Image
Option-implied term structures
Vogt, Erik - Federal Reserve Bank of New York - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10011103532
Cover Image
Betting against beta (and gamma) using government bonds
Durham, J. Benson - Federal Reserve Bank of New York - 2015
Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...
Persistent link: https://www.econbiz.de/10011123661
Cover Image
Momentum and the term structure of interest rates
Durham, J. Benson - Federal Reserve Bank of New York - 2013
Gaussian arbitrage-free affine term structure models. However, substantial variance remains unexplained, the betas are less …
Persistent link: https://www.econbiz.de/10011027211
Cover Image
Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - Federal Reserve Bank of New York - 2014
inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …
Persistent link: https://www.econbiz.de/10010751385
Cover Image
Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006
negative and thus offer arbitrage opportunities. …
Persistent link: https://www.econbiz.de/10005526320
Cover Image
Inference, arbitrage, and asset price volatility
Adrian, Tobias - Federal Reserve Bank of New York - 2004
This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...
Persistent link: https://www.econbiz.de/10005420543
Cover Image
The impact of stock index arbitrage on equity markets - theory and evidence
Bhatt, Swati - Federal Reserve Bank of New York - 1987
Persistent link: https://www.econbiz.de/10005717216