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Arbitrage pricing theory
Huberman, Gur - 2005
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …
Persistent link: https://www.econbiz.de/10010283426
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Bank-intermediated arbitrage
Boyarchenko, Nina; Eisenbach, Thomas M.; Gupta, Pooja; … - 2018
bank intermediation for their arbitrage strategies. …
Persistent link: https://www.econbiz.de/10012144701
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Personal bankruptcy and credit market competition
Dick, Astrid; Lehnert, Andreas - 2006
The effect of credit market competition on borrower default is theoretically ambiguous, because the quantity of credit supplied may rise or fall following an increase in competition. We investigate empirically the relationship between credit market competition, lending to households, and...
Persistent link: https://www.econbiz.de/10010283315
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Money, liquidity, and monetary policy
Adrian, Tobias; Shin, Hyun Song - 2009
In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the balance sheet growth of broker-dealers provides a...
Persistent link: https://www.econbiz.de/10010283512
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The changing nature of financial intermediation and the financial crisis of 2007-09
Adrian, Tobias; Shin, Hyun Song - 2010
The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the shadow banking system, which grew out of the securitization of assets and the integration of banking with capital market developments. This trend was most pronounced in the...
Persistent link: https://www.econbiz.de/10010287077
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LIBOR: Origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10011340948
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Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of...
Persistent link: https://www.econbiz.de/10011340951
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10011340958
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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …
Persistent link: https://www.econbiz.de/10011340961
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas; Schmalz, Martin; … - 2015
We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...
Persistent link: https://www.econbiz.de/10011340962