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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

Framstad, Nils Chr. - 2011

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …

Persistent link: https://www.econbiz.de/10010330249

A note on arbitrage under transaction costs

Irle, Albrecht; Prelle, Claas - 2008

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of …

Persistent link: https://www.econbiz.de/10010274720

SETS, Arbitrage Activity, and Stock Price Dynamics

Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999

This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...

Persistent link: https://www.econbiz.de/10010324378

Transaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913

Burhop, Carsten; Gelman, Sergey - 2010

We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...

Persistent link: https://www.econbiz.de/10010270431

One-Way Arbitrage-Based Interest Parity

Chang, Rosita P.; Lee, Sang-Hyop; Reid, Sean F.; Rhee, … - 2002

forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …

Persistent link: https://www.econbiz.de/10010324946

Einbettung von Merger und Akquisition in wirtschaftstheoretische Erklärungsansätze

Mittendorf, Thomas; Plöger, Andre - 2003

Die Verbindung von Unternehmen ist keine Erscheinung der letzten Jahre. Vielmehr beruht das Konzept der Merger & Akquisition (M&A) auf grundlegenden wirtschaftstheoretischen Theorien, die in der Diskussion allerdings oftmals von populistischen Motiven für die Fusion im vorliegenden Fall...

Persistent link: https://www.econbiz.de/10010317619

The firm as a pool of factor complementarities

Lindbeck, Assar; Snower, Dennis J. - 2003

This paper presents a new approach to the theory of the firm by identifying factor complementarities as central to the …

Persistent link: https://www.econbiz.de/10010320016

A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets

Irle, Albrecht; Prelle, Claas - 2008

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Persistent link: https://www.econbiz.de/10010263520

Disagreement and authority

Ellingsen, Tore; Miettinen, Topi - 2007

Can two negotiators fail to agree when both the size of the surplus and the rationality of the negotiators are common knowledge? We show that the answer is affirmative. When the negotiators can make irrevocable commitments at a low but positive cost, the unique symmetric equilibrium entails...

Persistent link: https://www.econbiz.de/10010263800

How global rules are established and stabilized

Siebert, Horst - 2007

This paper analyzes how international rules are established and stabilized, i.e. how an international institutional order develops. Rules emerge mainly through learning from negative experience and serve to reduce transaction costs. The paper looks at mechanisms that stabilize rule systems, at...

Persistent link: https://www.econbiz.de/10010273096