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Limits to Arbitrage : The Case of Single Stock Futures and Spot Prices
Aggarwal, Nidhi - 2015
Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant … cross-sectional variation in the size and asymmetricity of no-arbitrage bands. To the extent that market frictions affect …
Persistent link: https://www.econbiz.de/10013025425
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Anwendung der Lehre von den unvollkommenen und unvollständigen Versicherungs- und Kapitalmärkten auf die Lebensversicherung
Nickel, Andreas - 1995
Persistent link: https://www.econbiz.de/10000895988
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869
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Disentangling euro area portfolios : new evidence on cross-border securities holdings
Rousová, Linda; Rodríguez Caloca, Antonio - 2018
This paper presents a detailed set of new, quantity-based indicators of financial integration in the euro area. The indicators are based on granular data from securities holdings statistics and help us disentangle the main drivers of the portfolio changes observed since the financial crisis....
Persistent link: https://www.econbiz.de/10011857118
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Can removing the tax cap save social security?
Bagchi, Shantanu - In: The B.E. journal of macroeconomics 17 (2017) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011743281
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A Functional Analysis Approach to Static Replication of European Options
Bossu, Sebastien - 2019
continuum, formally proven by Carr and Madan (1998), is part of the more general theory of integral equations. We apply spectral …
Persistent link: https://www.econbiz.de/10012867519
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Financial frictions, product quality, and international trade
Crinò, Rosario; Ogliari, Laura - 2015
Persistent link: https://www.econbiz.de/10010531950
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Financial imperfections, product quality, and international trade
Crinò, Rosario; Ogliari, Laura - In: Journal of international economics 104 (2017), pp. 63-84
Persistent link: https://www.econbiz.de/10011745117
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Financial frictions, product quality, and international trade
Crinò, Rosario; Ogliari, Laura - 2015
An influential literature shows that product quality varies widely across countries and industries. In this paper, we propose and test an explanation that rests on the interplay between cross-country differences in financial frictions and cross-industry differences in financial vulnerability. We...
Persistent link: https://www.econbiz.de/10011775787
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Financial frictions, product quality, and international trade
Crinò, Rosario; Ogliari, Laura - 2014
Persistent link: https://www.econbiz.de/10010376487