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Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
Levy, Ariel; Lieberman, Offer - In: Journal of Banking & Finance 37 (2013) 5, pp. 1412-1421
In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and...
Persistent link: https://www.econbiz.de/10010741762
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Information Spillover, Profit Opportunities, and Return Deviations Analysis: The Case of Cross-Listed BHP Billiton
Su, Roger; Yi, Ronghua; Hooper, Keith; Dutta, Amitabh - In: International Journal of Business and Economics 12 (2013) 2, pp. 155-170
spillover effect may start from the earlier time zone. Our findings partly support that investors can get arbitrage profit from …
Persistent link: https://www.econbiz.de/10010837287
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Tax reform and the identity of marginal traders around ex-dividend days
Tseng, Yun-lan; Hu, Shing-yang - In: Pacific-Basin Finance Journal 25 (2013) C, pp. 181-199
role after the reform. We also find that all types of domestic investors engage in arbitrage around ex-dividend days prior …
Persistent link: https://www.econbiz.de/10010729590
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Information Exchange and the Limits of Arbitrage
Gray, Wesley - Volkswirtschaftliche Fakultät, … - 2008
capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …
Persistent link: https://www.econbiz.de/10005835710
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Information Exchange and the Limits of Arbitrage
Gray, Wesley - Volkswirtschaftliche Fakultät, … - 2008
capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …
Persistent link: https://www.econbiz.de/10005835969
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Investor Psychology and Asset Pricing
Hirshleifer, David - Volkswirtschaftliche Fakultät, … - 2001
The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for...
Persistent link: https://www.econbiz.de/10005619847
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The Dynamics of Financially Constrained Arbitrage
Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …
Persistent link: https://www.econbiz.de/10011184076
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Measuring the performance of hedge funds using two-stage peer group benchmarks
Wilkens, Marco; Yao, Juan; Jeyasreedharan, Nagaratnam; … - School of Economics and Finance, Tasmanian School of … - 2013
This paper is the first to present a two-stage peer group benchmarking approach to evaluate the performance of hedge funds. We present different ways of orthogonalizing the peer group benchark and discuss their propperties in general. We propose to orthogonalize the benchmark against all other...
Persistent link: https://www.econbiz.de/10010717676
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Benchmark Concentration: Capitalization Weights Versus Equal Weights in the FTSE 100 Index
Tabner, Isaac T. - In: Multinational Finance Journal 13 (2009) 3-4, pp. 209-228
Identifying a suitable benchmark is essential when testing asset pricing models, measuring the performance of active investors, or providing market proxy portfolios for passive investors. Concern that increased domination of capitalization weighted stock indices by a few large firms will lead to...
Persistent link: https://www.econbiz.de/10010937064
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Predictability in Emerging Sovereign Debt Markets
Jostova, Gergana - 2007
This paper finds strong evidence of predictability in Brady bonds, the most liquid emerging debt market, by implementing a new model for credit spreads. Predictability is economically and statistically significant and robust to various considerations. Active management provides US investors in...
Persistent link: https://www.econbiz.de/10012732373