This paper develops a theory of multiple unit auctions with short squeezes in the post- auction market. This is …

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. …

cash flows process with random coefficients. We show that the model is free of arbitrage and that the transversality … (respectively dividend-price ratio) is stochastic and our model represents excess volatility. We discuss whether our assumptions are …

effects considered in signaling games. We show that paying out free cash flow, either as a dividend or via repurchasing shares … limits of arbitrage leads to market inefficiency. Shareholders gain more from a share repurchases instead of paying a … dividend as long as capital gains are not heavily discriminated by taxation in relation to dividends. The positive price effect …

capitalisation of future dividend taxes in retained earnings, and it is robust to inclusion of a variety of control variables and … tests for possible alternative explanations. Second, we find that differences in dividend tax rates across U.S. tax regimes …-country variation in dividend tax rates is associated with predictable variation in the implied tax discount. Furthermore, the …

This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange … markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage … expand on its main tools of analysis, namely differential rates, residual information sets, arbitrage gaps and transaction …

This paper reconsiders the issue of share price reactions to dividend announcements. Previous papers rely almost … exclusively on a naive dividend model in which the dividend change is used as a proxy for the dividend surprise. We use the … difference between the actual dividend and the analyst consensus forecast as obtained from I/B/E/S as a proxy for the dividend …