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Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze

Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018

On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...

Persistent link: https://www.econbiz.de/10011875647

Squeezing shorts through social news platforms

Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021

At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...

Persistent link: https://www.econbiz.de/10012502167

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

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

Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - 2013

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

Persistent link: https://www.econbiz.de/10010257492

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

Measuring limits of Arbitrage in fixed-income markets

Fontaine, Jean-Sébastien; Nolin, Guillaume - 2017

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent … deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo … therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy …

Persistent link: https://www.econbiz.de/10011777981

Systematic consumption risk in currency returns

Hoffmann, Mathias; Suter, Rahel - 2013

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

Persistent link: https://www.econbiz.de/10009752999

The pricing of unexpected volatility in the currency market

Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...

Persistent link: https://www.econbiz.de/10012591966

A benchmark model for financial markets

Platen, Eckhard - 2001

to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free … portfolio ; arbitrage amount …

Persistent link: https://www.econbiz.de/10009614289