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Short-term investment and the informational efficiency of the market
Vives, Xavier - In: The review of financial studies 8 (1995) 1, pp. 125-160
Persistent link: https://www.econbiz.de/10001176465
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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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Arbitrage risk and market efficiency : the case of treasury bill futures
Lin, James Wuh - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 187-203
Persistent link: https://www.econbiz.de/10001467558
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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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What drives the distress risk-return puzzle? : a perspective on limits of arbitrage
Sha, Yezhou; Bu, Ziwen; Wang, Zilong - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3574-3592
Persistent link: https://www.econbiz.de/10014429152
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Overconfidence, arbitrage, and equilibrium asset pricing
Daniel, Kent; Hirshleifer, David; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 921-965
Persistent link: https://www.econbiz.de/10001593013
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Health risk and the efficient market hypothesis in the time of COVID-19
Vasileiou, Evangelos; Samitas, Aristeidis; … - In: International review of applied economics 35 (2021) 2, pp. 210-223
Persistent link: https://www.econbiz.de/10012485125
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On risk, rational expectations, and efficient asset markets
Stevens, Guy V. G.; Akbarian, Dara - 1994
Persistent link: https://www.econbiz.de/10000893004
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2010
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10008666521
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Derivatives and default risk
Scholz, Sebastian - 2010
Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...
Persistent link: https://www.econbiz.de/10003951795