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Portfolio delegation and market efficiency
Malamud, Semyon; Petrov, Evgeny - 2014
We develop a two-period general equilibrium model of portfolio delegation with competitive, differentially skilled managers and convex compensation contracts. We show that convex incentives lead to significant equilibrium mispricing, but reduce price volatility. In particular, price...
Persistent link: https://www.econbiz.de/10010337960
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Entrepreneurial overconfidence, self-financing and capital market efficiency
Dell'Era, Michele; Santos-Pinto, Luís - 2011
Persistent link: https://www.econbiz.de/10009501196
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Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks
Tan, Senren; Zhuo, Jin; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343
Persistent link: https://www.econbiz.de/10011439593
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Pricing and valuation under the real-world measure
Frahm, Gabriel - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011453878
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Tracking biased weights: asset pricing implications of value-weighted indexing
Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2020
Persistent link: https://www.econbiz.de/10012487379
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Cointegration-based trading : evidence on index tracking & market-neutral strategies
Papantonis, Ioannis - In: Managerial finance 42 (2016) 5, pp. 449-471
Persistent link: https://www.econbiz.de/10011570282
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The behavior of an institutional investor with arbitrage opportunities and liquidity risk
Sung, Sangwook; Cho, Hoon; Ryu, Doojin - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10012210426
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Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly
Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16
arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the … ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …
Persistent link: https://www.econbiz.de/10011772356
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Modeling momentum and reversals
Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10
captured, the model is arbitrage free, and market informational efficiency is preserved. Simulation shows that in such a market …
Persistent link: https://www.econbiz.de/10013555665
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The race to exploit anomalies and the cost of slow trading
Kaplanski, Guy - In: Journal of financial markets 62 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014226691