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We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...
Persistent link: https://www.econbiz.de/10010706980
This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...
Persistent link: https://www.econbiz.de/10010861453
frictionless case; compare (Kabanov and Kramkov in Finance Stoch. 2:143–172, 1998; Klein and Schachermayer in Theory Probab. Appl …
Persistent link: https://www.econbiz.de/10011072680
This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...
Persistent link: https://www.econbiz.de/10010707479
Exchange Traded Funds (ETF) are designed to track a benchmark. ETF facilitate asset management and contribute to reduce management fees and transaction costs, they are traded like stocks at current price on continuous markets and meet an increasing success. Initially, anETFwas a stock...
Persistent link: https://www.econbiz.de/10010707604
In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...
Persistent link: https://www.econbiz.de/10010764081
Given exogenously the price process of some assets, we constrain the price process of other assets, which are characterised by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence of the equilibrium. In this setup, we derive...
Persistent link: https://www.econbiz.de/10010905222
In this paper, we prove an existence theorem for approximated equilibria in a class of discontinuous economies. The existence result is a direct consequence of a discontinuous extension of Brouwer’s fixed point Theorem (1912), and is a refinement of several classical results in the standard...
Persistent link: https://www.econbiz.de/10011072233
This paper addresses partly an open question raised in the Handbook of Mathematical Economics about the orientability of the pseudo-equilibrium manifold in the basic two-period General Equilibrium with Incomplete Markets (GEI) model. For a broad class of explicit asset structures, it is proved...
Persistent link: https://www.econbiz.de/10011072967
Reviews the book 'Financial Analysis and Corporate Strategy,' by Mark Grinblatt and Sheridan Titman.
Persistent link: https://www.econbiz.de/10011166398