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Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints

Chabakauri, Georgy - 2013

We study dynamic general equilibrium in a Lucas economy with two trees, one consumption good, two CRRA investors with heterogeneous risk aversions, and portfolio constraints. We focus on margin and leverage constraints, which restrict access to credit markets. We find positive relationship...

Persistent link: https://www.econbiz.de/10013086494

Speculative behavior and the dynamics of interacting stock markets

Schmitt, Noemi; Westerhoff, Frank H. - 2013

We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators’ strategy/market selections are repeated at each time step and depend on predisposition effects, herding...

Persistent link: https://www.econbiz.de/10010204792

Stock market volatility and learning

Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2012

We study a standard consumption based asset pricing model with rational investors who entertain subjective prior beliefs about price behavior. Optimal behavior then dictates that investors learn about price behavior from past price observations. We show that this imparts momentum and mean...

Persistent link: https://www.econbiz.de/10011489917

Interactions between stock, bond and housing markets

Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H. - 2018

We develop a model in which investors can participate in stock, bond and housing markets. Investors' market entry decisions are subject to herding effects and depend on the markets' price trends and on their mispricings. The dynamics of our model is governed by a four-dimensional nonlinear map...

Persistent link: https://www.econbiz.de/10011772946

Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81

timing opportunity resulting in a maximum statistical arbitrage opportunity corresponding to a profit of 19% p.a. with an … as the benchmark. -- statistical arbitrage ; financial crises ; equity price busts ; cointegration …

Persistent link: https://www.econbiz.de/10009241516

Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets

Chabot, Benjamin Remy - 2014

We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when … the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are …

Persistent link: https://www.econbiz.de/10013070475

Arbitrage Crashes : Slow-Moving Capital or Market Segmentation?

Dick-Nielsen, Jens - 2020

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …

Persistent link: https://www.econbiz.de/10012856844

Institutional investors and equity prices : information, behavioral bias and arbitrage

Han, Bing; Kong, Dongmin - 2017

This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...

Persistent link: https://www.econbiz.de/10011646414

Put-call parity in Indian stock markets post turmoil settlement

Gupta, Pankaj Kumar - In: Trends economics and management 12 (2018) 32, pp. 49-61

investor dmand. The theoretical put-call parity (PCP) relationship may be analysed to explore the arbitrage opportunity and … the National Stock Exchange of India (NSE) on various parameters including Moneyness, arbitrage differential, and time to …-Dec 2017) of the NSE Nifty Call and Put options to examine the existence of arbitrage indicating the inefficiency of market …

Persistent link: https://www.econbiz.de/10012022238

Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This...

Persistent link: https://www.econbiz.de/10011897782

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