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Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage …

Persistent link: https://www.econbiz.de/10005124143

Greek Closed-End Fund Premia: Differences and Similarities with US Premia and Their Implications

Hardouvelis, Gikas A; Tsiritakis, Emmanuel D - C.E.P.R. Discussion Papers - 1996

The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia...

Persistent link: https://www.econbiz.de/10005124169

Covered Purchasing Power Parity, Ex-Ante PPP and Risk Aversion

Moore, Michael J - C.E.P.R. Discussion Papers - 1992

The standard expectations augmented theory of ex-ante purchasing power parity (PPP), which was first developed by Roll, assumes that agents are risk neutral. A Covered Purchasing Power Condition is developed which holds for the general case of risk aversion. A risk-augmented form of ex-ante PPP...

Persistent link: https://www.econbiz.de/10005124291

Drivers of Structural Change in Cross-Border Banking Since the Global Financial Crisis

Bremus, Franziska; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2014

importance of regulatory arbitrage as a driver of cross-border bank flows since the global financial crisis. However, in the euro … area, arbitrage in capital stringency was linked to lower cross-border lending since the crisis. …

Persistent link: https://www.econbiz.de/10011145418

The Dynamics of Financially Constrained Arbitrage

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

Persistent link: https://www.econbiz.de/10011184076

The impact of dark trading and visible fragmentation on market quality

de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011

Two important characteristics of current equity markets are the large number of trading venues with publicly displayed order books and the substantial fraction of trading that takes place in the dark, outside such visible order books. This paper evaluates the impact of dark trading and...

Persistent link: https://www.econbiz.de/10009359491

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2003

Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal exchange rates. On the other hand, the recent ‘microstructure approach to exchange rates’ has shown that most exchange rate volatility at short to medium horizons is related to order flows....

Persistent link: https://www.econbiz.de/10005662225

Asymmetric Information in the Stock Market: Economic News and Co-movement

Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006

We analyze the effect that real-time domestic and foreign news about fundamentals have on the correlation of stock returns of a small open economy, Portugal, and a large open economy, the U.S. We also study the role of public and private information in the price formation process in the U.S. and...

Persistent link: https://www.econbiz.de/10005666949

Global Private Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregor H; Schneider, Martin - C.E.P.R. Discussion Papers - 2006

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...

Persistent link: https://www.econbiz.de/10005667137

An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates

Breedon, Francis; Vitale, Paolo - C.E.P.R. Discussion Papers - 2004

We propose a simple structural model of exchange rate determination that draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...

Persistent link: https://www.econbiz.de/10005791428

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