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Market Frictions, Arbitrage, and the Capitalization of Amenities
Ouazad, Amine - 2019
The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …
Persistent link: https://www.econbiz.de/10012479652
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Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model
Bertsimas, Dimitris - 1997
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic … market incompleteness. " To investigate the practical significance of these -arbitrage strategies examples including path …
Persistent link: https://www.econbiz.de/10012472561
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Bankruptcy and Collateral in Debt Constrained Markets
Kehoe, Timothy J. - 2006
Typical models of bankruptcy and collateral rely on incomplete asset markets. In fact, bankruptcy and collateral add contingencies to asset markets. In some models, these contingencies can be used by consumers to achieve the same equilibrium allocations as in models with complete markets. In...
Persistent link: https://www.econbiz.de/10012466005
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Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium
Albagli, Elias - 2017
We analyze the firm-level and aggregate consequences of equity market imperfections in the form of noisy information aggregation for corporate risk-taking and investment. Market imperfections cause controlling shareholders to invest too much in upside risks and too little in downside risks in an...
Persistent link: https://www.econbiz.de/10012455262
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Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
Brunnermeier, Markus K. - 2007
Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these...
Persistent link: https://www.econbiz.de/10012465716
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Chamberlain, Gary - 1982
We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies …
Persistent link: https://www.econbiz.de/10012478108
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Money in a Heterogeneous Agent Model
Farmer, Roger E. A. - National Bureau of Economic Research - 2024
I introduce money into an incomplete markets model with heterogeneous agents and uninsurable income risk. I show that the model exhibits both non-monetary and monetary equilibria, with the latter existing when income risk is sufficiently high. Using numerical methods, I characterize the...
Persistent link: https://www.econbiz.de/10015056162
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A Market Based Solution to Price Externalities : A Generalized Framework
Kilenthong, Weerachart T. - 2014
constrained-efficient allocation. The key as in general equilibrium theory is to extend the commodity space in such a way that …
Persistent link: https://www.econbiz.de/10012458391
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A No-Arbitrage Perspective on Global Arbitrage Opportunities
Augustin, Patrick - 2020
that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the … absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver …-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the …
Persistent link: https://www.econbiz.de/10012481814
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Externalities as Arbitrage
Hébert, Benjamin M. - 2020
. Focusing in particular on arbitrage opportunities, I construct an "externality-mimicking portfolio" whose returns track the …
Persistent link: https://www.econbiz.de/10012482173