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The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …
Persistent link: https://www.econbiz.de/10011899208
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …
Persistent link: https://www.econbiz.de/10011391709
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...
Persistent link: https://www.econbiz.de/10011483067
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10010471006
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Securities lending and information acquisition
Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024
Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...
Persistent link: https://www.econbiz.de/10014501098
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Financial assets returns, tax-clienteles and no-arbitrage conditions
Prisman, Eliezer Zeev - 1988
Persistent link: https://www.econbiz.de/10000762938
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The value of the early unwind option in futures contracts with an endogenous basis
Bühler, Wolfgang; Kempf, Alexander - 1994
by arbitrage trading the underlying of the option depends contrary to standard option pricing theory on the unwind option …
Persistent link: https://www.econbiz.de/10011621485
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Optimale Arbitragestrategien in Terminmärkten
Bühler, Wolfgang; Kempf, Alexander - 1994
Der folgende Beitrag analysiert das optimale Verhalten eines Investors, der Arbitrage zwischen Kassa- und Futuresmarkt … betreibt. Gegenüber dem Standardmodell der cash & carry-Arbitrage wird der zulässige Strategieraum des Arbitrageurs erweitert …The following article analyses the optimal arbitrage strategy of an investor in the spot and in the futures market. In …
Persistent link: https://www.econbiz.de/10011621823
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Capital controls and covered interest parity between the yen and dollar
Ito, Takatoshi - 1983
Persistent link: https://www.econbiz.de/10003528805