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Beta Risk in the Cross-Section of Equities
Boloor, Ali - 2019
We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify. In the model, the expected return on a stock depends on beta's co-movement with market variance and more generally with the stochastic discount factor and deviates from the...
Persistent link: https://www.econbiz.de/10012899147
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The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555
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Inherent efficiency, security markets, and the pricing of investment strategies
Zou, Liang - 2000
markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are …
Persistent link: https://www.econbiz.de/10011304380
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Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds
Gemmill, Gordon - 2011
is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …
Persistent link: https://www.econbiz.de/10013128561
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Chapter 10 Arbitrage, state prices and portfolio theory
Dybvig, Philip H.; Ross, Stephen A. - 2003
equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …
Persistent link: https://www.econbiz.de/10014023861
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Limits to Arbitrage : Time-Varying Market Neutrality of Hedge Funds
Siegmann, Arjen - 2013
arbitrage trading, such as done by hedge funds, we formulate and test a hypothesis that market neutrality is affected by market …
Persistent link: https://www.econbiz.de/10013095650
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Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium
Abad, Pharos - 2020
Persistent link: https://www.econbiz.de/10012841039
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When Risks and Uncertainties Collide : Quantum Mechanical Formulation of Mathematical Finance for Arbitrage Markets
Farinelli, Simone - 2019
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets … discounting and portfolio rebalancing, and whose curvature measures, in this geometric language, the ''instantaneous arbitrage … for arbitrage.Results, obtained by solving explicitly the Schrödinger equations by means of spectral decomposition of the …
Persistent link: https://www.econbiz.de/10012868421
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Systematic Risk of Cdos and Cdo Arbitrage
Hamerle, Alfred - 2016
“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …
Persistent link: https://www.econbiz.de/10012989251
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Trading volume, illiquidity and commonalities in FX markets
Ranaldo, Angelo; Santucci de Magistris, Paolo - 2018
, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the …
Persistent link: https://www.econbiz.de/10011946662