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Exchange traded funds (ETFs)
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017
with the index. Arbitrage activity is a necessary component in minimizing the price discrepancy between ETFs and the … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …
Persistent link: https://www.econbiz.de/10011620013
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ETFs, arbitrage, and contagion
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011
Persistent link: https://www.econbiz.de/10009507310
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Limits of arbitrage, sentiment and pricing kernel : evidence from index options
Han, Bing (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002101537
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Multi-market trading and arbitrage
Gagnon, Louis (contributor); Karolyi, G. Andrew (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002101610
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Determinants and implications of arbitrage holdings in acquisitions
Hsieh, Jim (contributor); Walkling, Ralph A. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001786248
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Multi-market trading and arbitrage
Gagnon, Louis (contributor); Karolyi, G. Andrew (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001905502
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Covariance risk, mispricing, and the cross section of security returns
Daniel, Kent (contributor); Hirshleifer, David (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001522681
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The role of the securitization process in the expansion of subprime credit
Nadauld, Taylor D.; Sherlund, Shane M. - 2009 - This draft: April 2009
Persistent link: https://www.econbiz.de/10003841956
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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
restrictions and institutional ownership in hedge funds. Hedge funds, Liquidity, Aggregate Liquidity, Arbitrage, Funding Liquidity …, Illiquidity, Liquidity Crisis, Crisis Stock Market Crash, Limits to Arbitrage, Liquidity Spirals, Short Selling, Short Sellers, 13 …
Persistent link: https://www.econbiz.de/10009009543
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An equilibrium asset pricing model with labor market search
Kuehn, Lars-Alexander; Petrosky-Nadeau, Nicolas; Zhang, Lu - 2012
"Search frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces a sizeable equity premium of 4.54% per...
Persistent link: https://www.econbiz.de/10009507047