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The Pricing of Market Jumps in the Cross-Section of Stocks and Options
Babaoglu, Kadir - 2018
Market index and individual stock returns exhibit jumps in addition to normal shocks. Equities have exposure to the market and sensitivity to the market is important for explaining equity returns and option prices. I develop a new factor model that explores (i) if a separate beta for market...
Persistent link: https://www.econbiz.de/10012936701
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Beta risk in the cross-section of equities
Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
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Detecting Arbitrage in the Foreign Exchange Market
Cui, Zhenyu - 2018
) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for … excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we … propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to …
Persistent link: https://www.econbiz.de/10012921244
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Arbitraging Mispriced Assets with Separation Portfolios to Lessen Total Risk
Apreda, Rodolfo - 2009
This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market … least total risk among other alternative portfolios. Coming next, such arbitrage is dealt directly with one single … separation portfolio, which grants that the total risk linked with the arbitrage portfolio equals the non-systematic risk …
Persistent link: https://www.econbiz.de/10013159871
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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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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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Global Political Risk and Currency Momentum
Filippou, Ilias - 2016
. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …
Persistent link: https://www.econbiz.de/10013005726
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146
as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from … the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention … fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only …
Persistent link: https://www.econbiz.de/10012619980
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020
as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from … the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention … fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only …
Persistent link: https://www.econbiz.de/10012251074