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Hon, Mark T.; Tonks, Ian - London School of Economics (LSE) - 2002

stock market examined to date, this paper identifies profitable momentum trading strategies as investment tools over the …-risk. Also, although we find some evidence of a size effect in the UK stock market, this phenomenon cannot explain the momentum …, Strong and Xu (1999). However, they are not present in the earlier 1955-76 period. The implication is that momentum is not a …

Persistent link: https://www.econbiz.de/10010745432

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In this paper we propose a welfare-based...

Persistent link: https://www.econbiz.de/10010884503

Medicines in parallel trade in the European Union: a gravity specification

Costa-i-Font, Joan; Kanavos, Panos - London School of Economics (LSE) - 2007

of arbitrage, it is primarily a regulation-induced phenomenon. As a result, although the driving force for parallel trade …

Persistent link: https://www.econbiz.de/10010745350

A theory of strategic intermediation and endogenous liquidity

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume, intermediation costs (such as breadth) etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In...

Persistent link: https://www.econbiz.de/10010745443

Strategic financial innovation in segmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2004

We study an equilibrium model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different trading locations. We edogonize the asset structure as the outcome of the security design game played by the arbitrageurs. The equilibrium...

Persistent link: https://www.econbiz.de/10010745660

A search-based theory of the on-the-run phenomenon

Vayanos, Dimitri; Weill, Pierre-Olivier - London School of Economics (LSE) - 2005

with no-arbitrage. We derive closed-form solutions for small frictions, and can generate price differentials in line with …

Persistent link: https://www.econbiz.de/10010745747

Strategic financial innovation in segmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market segments. We endogenize the asset structure as the outcome of a security design game played by the arbitrageurs. The equilibrium asset structure...

Persistent link: https://www.econbiz.de/10010746496

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality metric that can properly aggregate local market conditions across both securities and trading venues. Our analysis rests on a general equilibrium...

Persistent link: https://www.econbiz.de/10011171758

Walrasian foundations for equilibria in segmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2014

We study a CAPM economy with segmented financial markets and competitive arbitrageurs who link these markets. We show that the equilibrium of the arbitraged economy is Walrasian in the sense that it coincides with the equilibrium of an appropriately defined competitive economy with no...

Persistent link: https://www.econbiz.de/10011126554

Bitcoin and the PPP Puzzle

de Roure, Calebe; Tasca, Paolo - London School of Economics (LSE) - 2014

spread, good market arbitrage takes place in the Bitcoin economy but not in the US economy. Thus, we conclude that in a …This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as … frictionless economy the PPP holds and the speed of arbitrage for the good market depends on the speed of information spread among …

Persistent link: https://www.econbiz.de/10011163507