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Arbitrage and beliefs
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
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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
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Factor strengths, pricing errors, and estimation of risk premia
Pesaran, M. Hashem; Smith, Ron - 2021
This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...
Persistent link: https://www.econbiz.de/10012486668
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Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10012499632
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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
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Is hard Brexit detrimental to EU integration? : theory and evidence
Mikolajun, Irena; Viaene, Jean-Marie - 2018
integration benchmark that consists of the steady state production equilibrium characterized by arbitrage pricing and perfect …
Persistent link: https://www.econbiz.de/10011892540
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Fiscal competition for imperfectly-mobile labor and capital : a comparative dynamic analysis
Wildasin, David E. - 2009
Interjurisdictional flows of imperfectly-mobile migrants, investment, and other productive resources result in the costly dynamic adjustment of resource stocks. This paper investigates the comparative dynamics of adjustment to changes in local fiscal policy with two imperfectly mobile productive...
Persistent link: https://www.econbiz.de/10003888053
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Modeling Russia for Climate Change Issues
Bayar, Ali H.; Dramais, Frédéric; Mohora, Cristina; … - 2010
This paper presents the dynamic multi-sector general equilibrium model for the Russian Federation (RusMod) and carbon emission projections for Russia up to 2020. Projection results emphasise the importance of accomplishing strong energy efficiency gains, and their effect on the economy and on...
Persistent link: https://www.econbiz.de/10003940124
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The dynamics of climate agreements
Harstad, Bård - 2010
I develop a dynamic model of private provision of public bads allowing investments in technologies. The analysis is tractable and the MPE unique. The framework is used to derive optimal incomplete contracts in a dynamic setting. While the noncooperative equilibrium is very inefficient,...
Persistent link: https://www.econbiz.de/10008810179
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The incidence of an extended ace corporation tax
Fehr, Ernst; Wiegard, Wolfgang - 2001
This paper deals with the efficiency and distributional consequences of a switch from the current German income and corporate tax system to one special variant of an intertemporally neutral tax, an extended ACE (allowance for corporate equity) corporation tax. This tax is favoured by the IFS...
Persistent link: https://www.econbiz.de/10011398873