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Interest-Rate Risk Factor and Stock Returns : A Time-Varying Factor-Loadings Model
Huang, Peng - 2018
We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...
Persistent link: https://www.econbiz.de/10012931064
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Frequency dynamics of volatility spillovers among crude oil and international stock markets : the role of the interest rate
Wang, Xunxiao - In: Energy economics 91 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012518567
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Arbitragemöglichkeiten bei fixen Aktien- und Aktienindextermingeschäften : vertieft am Beispiel von DAX-Futures mit unterschiedlicher Laufzeit
Neumann, Kai - 1999
Der Autor analysiert die theoretische und empirische Preisbeziehung zwischen fixen Aktienindexterminkontrakten auf den gleichen Kontraktgegenstand (DAX) mit unterschiedlicher Fälligkeit. Die Untersuchung dieser Beziehung ist von der empirischen Kapitalmarktforschung bislang mit Hinweis auf die...
Persistent link: https://www.econbiz.de/10011401952
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Non-parametric analysis of equity arbitrage
Vortelinos, Dimitrios I. - In: International review of economics & finance : IREF 33 (2014), pp. 199-216
Persistent link: https://www.econbiz.de/10010532732
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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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Weak-form market efficiency of the Brazilian exchange rate : evidence from an artificial neural network model
Palma, Andreza Aparecida; Sartoris, Alexandre - In: Latin American business review : journal of the … 17 (2016) 2, pp. 163-176
Persistent link: https://www.econbiz.de/10011533040
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Arbitrage Comovement
Shim, John J. - 2019
I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …
Persistent link: https://www.econbiz.de/10012897330
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Empirical testing of arbitrage pricing theory in the Indian stock market : factor analysis approach
Menani, Shikha; Jhamb, H. V. - In: Business analyst : a refereed journal of Shri Ram … 40 (2019) 2, pp. 61-95
Persistent link: https://www.econbiz.de/10013177243
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The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market
Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10011834005
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No arbitrage pricing and the term structure of interest rates
Gustavsson, Thomas - 1992
Persistent link: https://www.econbiz.de/10000136416