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Derivative Segment Exposure of Arbitrage Mutual Funds
Manda, Vijaya Kittu - 2020
positive correlation between the equity and derivative holdings of mutual fund schemes against the Nifty Arbitrage 50 Index and … – the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage …
Persistent link: https://www.econbiz.de/10012825502
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Ownership Structure , Limits to Arbitrage and Stock Returns : Evidence from Equity Lending Markets
Prado, Melissa Porras - 2019
We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short … costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions …
Persistent link: https://www.econbiz.de/10012905923
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Warranted Multiples and Future Returns
An, Jiyoun - 2013
We propose an alternative way of using accounting multiples to predict future returns. We define excess multiple as the difference between an accounting multiple and the warranted multiple based on a firm's fundamental value drivers. Firms with low excess multiples have higher one-to-three years...
Persistent link: https://www.econbiz.de/10013084480
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …
Persistent link: https://www.econbiz.de/10012421289
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Excess returns and the distinguished player paradox
Blonski, Matthias (contributor);  … - 2008
distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the … hypothesis. It further involves a substantial reinterpretation of traditional no-arbitrage towards a game-theoretic understanding … behavior. -- excess returns ; underpricing ; no-arbitrage ; asset pricing ; corporate finance …
Persistent link: https://www.econbiz.de/10003776197
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The role of factor strength and pricing errors for estimation and inference in asset pricing models
Pesaran, M. Hashem; Smith, Ron - 2019
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...
Persistent link: https://www.econbiz.de/10012118575
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns
Ahmed, Anwer S. - 2019
Financial crises are typically marked by substantial increases in ambiguity where prices appear to decouple from fundamentals. Consistent with ambiguity-based asset pricing theories, we find that ambiguity concerns are more severe for firms with higher pre-crisis earnings volatility, causing...
Persistent link: https://www.econbiz.de/10012890190
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Common Risk Factors in the Cross Section of Catastrophe Bond Returns
Braun, Alexander; Herrmann, Markus; Hibbeln, Martin Thomas - 2021
Historically, cat bonds have provided high single-digit average annual returns, paired with a low volatility and little correlation to other asset classes. While there is an extensive literature that explains (ex-ante) cat bonds spreads, there is no factor model in the academic literature that...
Persistent link: https://www.econbiz.de/10013216898