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Valseth, Siri - 2018

bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they adopt a trading strategy based … on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the …

Persistent link: https://www.econbiz.de/10012935778

Learning from arbitrage

Boisdeffre, Lionel de - In: Economic theory bulletin 4 (2016) 1, pp. 111-119

Persistent link: https://www.econbiz.de/10011582552

Elimination of arbitrage states in asymmetric information models

Cornet, Bernard; Boisdeffre, Lionel de - In: Economic theory : official journal of the Society for … 38 (2009) 2, pp. 287-293

Persistent link: https://www.econbiz.de/10003783133

Adverse selection, segmented markets, and the role of monetary policy

Sanches, Daniel; Williamson, Stephen D. - In: Macroeconomic dynamics 15 (2011), pp. 269-292

Persistent link: https://www.econbiz.de/10009504751

Using the capital asset pricing model and arbitrage pricing theory in capital budgeting

Young, Saul David; Saadi, Samir - In: Capital budgeting valuation : financial analysis for …, (pp. 363-380). 2011

Persistent link: https://www.econbiz.de/10009237034

Arbitrage and price revelation with asymmetric information and incomplete markets

Cornet, Bernard; Boisdeffre, Lionel de - In: Journal of mathematical economics 38 (2002) 4, pp. 393-410

Persistent link: https://www.econbiz.de/10001717140

Bond issuance as reputational signal : debunking the negative perception of additional liability

Sheng, Dachen; Montgomery, Heather A. - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-19

This paper examines the determinants of bond issuance in the Chinese market and the influence of capital structure … Chinese market, in particular the involvement of the financial authority permission process during bond issuance, enhance the … of both bond and nonbond direct finance. We interpret this as bond issuance approval serving as a signal to markets of an …

Persistent link: https://www.econbiz.de/10014484204

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Temporal information gaps and market efficiency : a dynamic behavioral analysis

Witte, Björn-Christopher - 2009

This study seeks to explore, how market efficiency changes, if ordinary traders receive fundamental news more or less often. We show that longer temporal information gaps lead to fewer but larger shocks and a reduction of the average noise level on the dynamics. The consequences of these effects...

Persistent link: https://www.econbiz.de/10003825276

Implications of asymmetry risk for portfolio analysis and asset pricing

Chabi-Yo, Fousseni (contributor); … - 2007

Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10003560573

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