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Khorrami, Paymon; Zentefis, Alexander K. - 2020

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

Persistent link: https://www.econbiz.de/10012260973

Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The … ; mean-variance portfolio ; arbitrage pricing ; market (beta) neutrality ; well diversification …

Persistent link: https://www.econbiz.de/10003910456

The role of factor strength and pricing errors for estimation and inference in asset pricing models

Pesaran, M. Hashem; Smith, Ron - 2019

In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...

Persistent link: https://www.econbiz.de/10012118575

The term structure of interest rates in a heterogeneous monetary union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which …

Persistent link: https://www.econbiz.de/10013285648

Quantitative easing in the euro area : an event study approach

Urbschat, Florian; Watzka, Sebastian - 2017

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Persistent link: https://www.econbiz.de/10011743065

IMF surveillance and financial markets : a political economy analysis

Fratzscher, Marcel; Reynaud, Julien - 2010

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...

Persistent link: https://www.econbiz.de/10003976542

On creditor seniority and sovereign bond prices in Europe

Steinkamp, Sven; Westermann, Frank - 2012

The recent increase of interest rate spreads in Europe and their apparent detachment from underlying fundamental variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We critically evaluate this hypothesis, by pointing towards an...

Persistent link: https://www.econbiz.de/10009630117

On creditor seniority and sovereign bond prices in Europe : conference paper

Steinkamp, Sven; Westermann, Frank - 2013

Persistent link: https://www.econbiz.de/10010341164

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417491

Fool the markets? : Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003364216

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