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Non-parametric Tests for the Martingale Restriction: A New Approach
Guo, Biao; Han, Qian; Ryu, Doojin - 2013
differences between the option-implied and market observed prices. Our results strongly suggest that there exist arbitrage …
Persistent link: https://www.econbiz.de/10010892140
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Arbitrage and Optimal Portfolio Choice with Financial Constraints
Elsinger, Helmut; Summer, Martin - 2001
, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …
Persistent link: https://www.econbiz.de/10013369966
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
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What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. - 2007
in a theoretical liquidity-CAPM model and in a linear pricing framework. Our results suggest a surprising fragility of …
Persistent link: https://www.econbiz.de/10012143668
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
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Risk Exchange as a Market or Production Game
Borglin, Anders; Flåm, Sjur - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the...
Persistent link: https://www.econbiz.de/10013208519
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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10012030329
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Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian; Kaserer, Christoph - 2008
We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...
Persistent link: https://www.econbiz.de/10010305731
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Dividend momentum and stock return predictability: A Bayesian approach
Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021
A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...
Persistent link: https://www.econbiz.de/10012819002