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Arbitrage opportunities and event impacts on Spanish rights issues
Verdú, Manuel; Carchano, Óscar; Farinós Viñas, … - In: Applied economics letters 31 (2024) 5, pp. 401-421
Persistent link: https://www.econbiz.de/10014469923
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Arbitrage and the evaluation of linear factor models in UK stock returns
Fletcher, Jonathan - In: The financial review : the official publication of the … 45 (2010) 2, pp. 449-468
Persistent link: https://www.econbiz.de/10003974102
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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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Connecting supply, short-sellers and stock returns : research challenges
Reed, Adam V. - In: Journal of accounting & economics 60 (2015) 2/3, pp. 97-103
Persistent link: https://www.econbiz.de/10011438628
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Positive alphas and a generalized multiple-factor asset pricing model
Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48
Persistent link: https://www.econbiz.de/10011446005
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Benchmark models of expected returns in U.K. portfolio performance : an empirical investigation
Fletcher, Jonathan - In: International review of economics & finance : IREF 29 (2014), pp. 30-46
Persistent link: https://www.econbiz.de/10010431513
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Ownership Structure , Limits to Arbitrage and Stock Returns : Evidence from Equity Lending Markets
Prado, Melissa Porras - 2019
We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short … costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions …
Persistent link: https://www.econbiz.de/10012905923
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The Returns and Limits to Relative-Value ETF Arbitrage
Doering, Philipp - 2018
both proxies for cross-sectional and time-varying limits to arbitrage. Prices typically diverge following a sequence of …
Persistent link: https://www.econbiz.de/10012935792
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Derivative Segment Exposure of Arbitrage Mutual Funds
Manda, Vijaya Kittu - 2020
– the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage … opportunities in the stock market for hedging or portfolio balancing. This paper examines if the fund managers of Indian arbitrage …
Persistent link: https://www.econbiz.de/10012825502
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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