Narrow search
Showing 1 - 10 of 122
Cover Image
Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets
Ito, Takatoshi; Yamada, Kenta; Takayasu, Misako; … - 2021
With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit … pairs—can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage … arbitrage opportunity and places orders for multiple transactions—two in negative spreads and three in triangular arbitrage …
Persistent link: https://www.econbiz.de/10013310382
Cover Image
Data-Snooping Biases in Tests of Financial Asset Pricing Models
Lo, Andrew W. - 2010
We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...
Persistent link: https://www.econbiz.de/10012763376
Cover Image
Carry Trades and Risk
Burnside, A. Craig - 2011
Carry trades, in which an investor borrows a low interest rate currency and lends a high interest rate currency, have been profitable historically. The risk exposure of carry traders might explain their high returns, but conventional models of risk do not work because traditional risk factors,...
Persistent link: https://www.econbiz.de/10013121721
Cover Image
Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10013085923
Cover Image
The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets
Giovannini, Alberto - 2010
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with...
Persistent link: https://www.econbiz.de/10013141091
Cover Image
The Time Variation of Risk and Return in Foreign Exchange Markets : A General Equilibrium Perspective
Bekaert, Geert - 2010
This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates...
Persistent link: https://www.econbiz.de/10013138143
Cover Image
Pairs Trading : Performance of a Relative Value Arbitrage Rule
Galev, Evan G. - 2010
We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space. We test the profitability of several trading rules with six-month trading periods...
Persistent link: https://www.econbiz.de/10012763385
Cover Image
A Preferred-Habitat Model of the Term Structure of Interest Rates
Vayanos, Dimitri - 2009
future short rates. At the same time, because arbitrageurs render the term structure arbitrage-free, demand effects satisfy … no-arbitrage restrictions and can be quite different from the underlying shocks. We show that the preferred-habitat view …
Persistent link: https://www.econbiz.de/10013155019
Cover Image
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Stambaugh, Robert F. - 2012
Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry …
Persistent link: https://www.econbiz.de/10013097661
Cover Image
Common Risk Factors in Currency Markets
Lustig, Hanno N. - 2010
returns between high and low interest rate currencies. A standard, no-arbitrage model of interest rates with two factors - a …
Persistent link: https://www.econbiz.de/10012758797