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Shim, John J. - 2019

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

Persistent link: https://www.econbiz.de/10012897330

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Horst, Ulrich - 2012

trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the …

Persistent link: https://www.econbiz.de/10013112694

Non-parametric analysis of equity arbitrage

Vortelinos, Dimitrios I. - In: International review of economics & finance : IREF 33 (2014), pp. 199-216

Persistent link: https://www.econbiz.de/10010532732

Arbitrage risk and the turnover anomaly

Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182

Persistent link: https://www.econbiz.de/10010245601

Empirical testing of arbitrage pricing theory in the Indian stock market : factor analysis approach

Menani, Shikha; Jhamb, H. V. - In: Business analyst : a refereed journal of Shri Ram … 40 (2019) 2, pp. 61-95

Persistent link: https://www.econbiz.de/10013177243

The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market

Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10011834005

Determinanten des unternehmerischen Währungsderivateeinsatzes

Mahayni, Daniel - 2002

Aus welchen Gründen setzen Unternehmen (Währungs-)Derivate ein? Der Autor geht dieser Frage nach, indem er zunächst verschiedene Theorien zur Rechtfertigung des unternehmerischen Einsatzes von Derivaten zu Risikomanagementzwecken zusammenfaßt, welche die grundsätzliche Redundanz von...

Persistent link: https://www.econbiz.de/10011402078

Determinanten des unternehmerischen Währungsderivateeinsatzes

Mahayni, Daniel - 2002

Persistent link: https://www.econbiz.de/10001635015

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility spillovers and developed the spillover balance as well as...

Persistent link: https://www.econbiz.de/10014433363

Euro-US real exchange rate dynamics : how far can we push general equilibrium models?

Dogan, Aydan - 2014

This paper re-assesses the problem of general equilibrium models in matching the behaviour of real exchange rate. We do so by developing a two country general equilibrium model with non-traded goods, home bias, incomplete markets and partial degrees of pass through as well as nominal rigidities...

Persistent link: https://www.econbiz.de/10010416685

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