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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …
Persistent link: https://www.econbiz.de/10011391709
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Arbitragemöglichkeiten bei fixen Aktien- und Aktienindextermingeschäften : vertieft am Beispiel von DAX-Futures mit unterschiedlicher Laufzeit
Neumann, Kai - 1999
Der Autor analysiert die theoretische und empirische Preisbeziehung zwischen fixen Aktienindexterminkontrakten auf den gleichen Kontraktgegenstand (DAX) mit unterschiedlicher Fälligkeit. Die Untersuchung dieser Beziehung ist von der empirischen Kapitalmarktforschung bislang mit Hinweis auf die...
Persistent link: https://www.econbiz.de/10011401952
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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
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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
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Weak-form market efficiency of the Brazilian exchange rate : evidence from an artificial neural network model
Palma, Andreza Aparecida; Sartoris, Alexandre - In: Latin American business review : journal of the … 17 (2016) 2, pp. 163-176
Persistent link: https://www.econbiz.de/10011533040
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
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Levered Noise and the Limits of Arbitrage Pricing : Implications for the Term Structure of Equity Risk Premia
Boguth, Oliver - 2019
We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …
Persistent link: https://www.econbiz.de/10012905818
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Arbitrage Comovement
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
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ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
Brown, David C. - 2020
Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging. We use the exchange traded fund (ETF) primary market to study non-fundamental demand. Unique to the ETF market, specialized arbitrageurs called authorized participants correct...
Persistent link: https://www.econbiz.de/10012854947