Narrow search
Showing 1 - 10 of 2,090
Cover Image
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
Cover Image
Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation
Miyamoto, Kenji - 2018
actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or … arbitrage, which recurs to dissipate all the differences; i.e. the expected returns must be converged to the single rate and we … can ignore the beta as a component of the equity cost. The arbitrage results in valuation differences in the end, such as …
Persistent link: https://www.econbiz.de/10012907181
Cover Image
Economic analysis of price premiums in the presence of non-convexities : evidence from German electricity markets
Paschmann, Martin - 2017
Analyzing price data from sequential German electricity markets, namely the day-ahead and intraday auction, a puzzling but apparently systematic pattern of price premiums can be identified. The price premiums are highly correlated with the underlying demand profile. As there is evidence that...
Persistent link: https://www.econbiz.de/10011750488
Cover Image
How time horizons and arbitrage cost influence the turnover premium?
Li, Daye; Zhang, Xinmin - In: Applied economics 51 (2019) 44, pp. 4833-4848
Persistent link: https://www.econbiz.de/10012197119
Cover Image
Asset Pricing in an International Lucas Orchard with Dynamic Learning and Catching up with the Joneses under Agents’ Heterogeneous Expectations and Preferences
Berndt, Oliver - 2013
This paper studies asset pricing wherein the model combines dynamic learning and habit formation with agents' heterogeneous beliefs and preferences in a dynamic, stochastic, general-equilibrium, pure-exchange, international Lucas orchard. The intertemporal equilibrium model considers two groups...
Persistent link: https://www.econbiz.de/10013093705
Cover Image
Rare Disasters, Credit and Option Market Puzzles
Christoffersen, Peter - 2016
We embed systematic default, pro-cyclical recovery rates and habit persistence into a model with a slight possibility of a macroeconomic disaster of reasonable magnitude. We derive analytical solutions for defaultable bond prices and show that a single set of structural parameters calibrated to...
Persistent link: https://www.econbiz.de/10013007489
Cover Image
No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
Cover Image
The Negative Credit Risk Premium Puzzle : A Limits to Arbitrage Story
Godfrey, Chris - 2015
model incorporating limits-to-arbitrage factors is capable of explaining this apparent anomaly. We demonstrate that the … suffered recent relative underperformance, and that their ongoing poor performance can be explained by a mixture of four limits-to-arbitrage …
Persistent link: https://www.econbiz.de/10013015364
Cover Image
Levered Noise and the Limits of Arbitrage Pricing : Implications for the Term Structure of Equity Risk Premia
Boguth, Oliver - 2019
We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …
Persistent link: https://www.econbiz.de/10012905818
Cover Image
Multi-currency (Risky) Sovereign Bonds Arbitrage
Yordanov, Vilimir - 2018
, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …
Persistent link: https://www.econbiz.de/10012938247