Narrow search
Showing 1 - 10 of 11,473
Cover Image
Instantaneous Arbitrage and the CAPM
Nielsen, Lars Tyge - 2019
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM …. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing … relation in place of the market. Thus the difference between the arbitrage argument and the CAPM argument in Black and Scholes …
Persistent link: https://www.econbiz.de/10012894845
Cover Image
Put Option Exercise and Short Stock Interest Arbitrage
Barraclough, Kathryn - 2013
U.S. exchange-traded stock options are exercisable before expiration. While put options should frequently be exercised early to earn interest, they are not. In this paper, we explain an early exercise decision rule and then examine actual exercise behavior during the period January 1996 through...
Persistent link: https://www.econbiz.de/10013090248
Cover Image
Squeezing shorts through social news platforms
Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021
At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...
Persistent link: https://www.econbiz.de/10012502167
Cover Image
Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze
Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018
On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...
Persistent link: https://www.econbiz.de/10011875647
Cover Image
The Virtues and Vices of Equilibrium and the Future of Financial Economics
Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2008
The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then...
Persistent link: https://www.econbiz.de/10004976721
Cover Image
Arbitrage pricing and equilibrium pricing : compatibility conditions
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
Persistent link: https://www.econbiz.de/10010707894
Cover Image
Arbitrage pricing and equilibrium pricing : compatibility conditions.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
Persistent link: https://www.econbiz.de/10008832173
Cover Image
The Pricing of Market Jumps in the Cross-Section of Stocks and Options
Babaoglu, Kadir - 2018
Market index and individual stock returns exhibit jumps in addition to normal shocks. Equities have exposure to the market and sensitivity to the market is important for explaining equity returns and option prices. I develop a new factor model that explores (i) if a separate beta for market...
Persistent link: https://www.econbiz.de/10012936701
Cover Image
Beta risk in the cross-section of equities
Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
Cover Image
Detecting Arbitrage in the Foreign Exchange Market
Cui, Zhenyu - 2018
) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for … excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we … propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to …
Persistent link: https://www.econbiz.de/10012921244