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An Arbitrage Model for the Stock Price Adjustment in the Dividend Period
Borges, Maria Rosa - ISEG - School of Economics and Management, Department … - 2007
Following a dividend distribution, investors expect the stock price to decrease on the ex-dividend day. With no market … imperfections, the price decrease should exactly match the amount of the dividend, thus eliminating all opportunities for profitable … arbitrage. Allowing for different taxes on dividends and on capital gains results in a stock price adjustment ratio different …
Persistent link: https://www.econbiz.de/10005628417
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Fragility of arbitrage and bubbles in local martingale diffusion models
Guasoni, Paolo; Rásonyi, Miklós - In: Finance and Stochastics 19 (2015) 2, pp. 215-231
, arbitrage and bubbles alike disappear under proportional transaction costs or under small model mis-specifications. Thus, local … martingale diffusion models of arbitrage and bubbles are not robust to small trading and monitoring frictions. Copyright Springer …
Persistent link: https://www.econbiz.de/10011241199
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BINARY MARKETS UNDER TRANSACTION COSTS
CORDERO, FERNANDO; KLEIN, IRENE; PEREZ-OSTAFE, LAVINIA - In: International Journal of Theoretical and Applied … 17 (2014) 05, pp. 1450030-1
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage … opportunities. It has been already shown that the absence of arbitrage is related to the existence of λ-consistent price systems (λ … that in the transition phase "λ = λc" these sets are empty if and only if the frictionless market admits arbitrage …
Persistent link: https://www.econbiz.de/10011011273
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Outward FDI and economic growth
Herzer, Dierk - In: Journal of Economic Studies 37 (2010) September, pp. 476-494
Purpose – The purpose of this paper is to examine the impact of outward foreign direct investment (FDI) on economic growth. Design/methodology/approach – Two econometric approaches are used: cross-country regressions for a sample of 50 countries and time-series estimators for the USA....
Persistent link: https://www.econbiz.de/10009319780
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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
Chr. Framstad, Nils - Økonomisk institutt, Universitetet i Oslo - 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/10009293647
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The Pricing of Australian Index Futures Contracts with Taxes and Transaction Costs
Twite, Garry J. - In: Australian Journal of Management 23 (1998) 1, pp. 57-81
This paper examines the pricing behaviour of the Australian share price index futures contracts, incorporating taxes and transaction costs. The Australian SPI futures contract provides an interesting research setting to investigate futures pricing because of the combination of a relatively...
Persistent link: https://www.econbiz.de/10010769545
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Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien; Kabanov, Yuri - In: Finance and Stochastics 16 (2012) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10010847047
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Sticky continuous processes have consistent price systems
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - School of Economics and Management, University of Aarhus - 2013
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...
Persistent link: https://www.econbiz.de/10010851256
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Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs
Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2011
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportional transaction costs to general continuous-time settings. We prove that the (RNFL) condition is equivalent to the existence of a strictly consistent price system, i.e. a martingale evolving in...
Persistent link: https://www.econbiz.de/10010707588
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A discrete stochastic model for investment with an application to the transaction costs case
Carassus, Laurence; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2000
. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …
Persistent link: https://www.econbiz.de/10010707780