Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...

This paper investigates the growth effects of financial integration and financial deepening in selected SSA economies, using a panel dataset of 10 SSA countries from 1970-2012. We use ratio of net FDI inflow to GDP (proxy for financial integration), ratio of gross capital formation to GDP (proxy...

Using the CEM pension fund data set, we document the cost structure and performance of a large sample of US pension funds. To date, self-reporting biases and a deficiency of comprehensive return and cost data have severely hindered pension fund performance studies. The bias-free CEM dataset...

The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...

Portfolio traders may split large orders into smaller orders scheduled over time to reduce price impact. Since handling many orders is cumbersome, these smaller orders are often traded in an automated (“algorithmic”) manner. We propose metrics using these orders to help measure various...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Credit risk has been a worrying type of risk for financial managers. Fortunately, a recent market development –credit derivatives- has made the credit risk more manageable. The loan portfolio management has become more practicable than it used to be in the past. However, credit derivatives are...

I analyze a model with heterogeneous investors who have incorrect beliefs about fundamentals. Investors think that they are right at first, but over time realize that they are wrong. The speed of the realization depends on investor confidence in own beliefs and arrival of new information. The...

The Brazilian capital market has been in the last 10 years a attractive space for negotiations and opening of company’s capital. The early studies of market anomalies that are looking for evidence on reasons of understatement and overstatement at the time of the IPO in Brazil date back to...

The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...