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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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Capital Asset Pricing Model
Bhattacharya, Rajeev R. - 2017
The capital asset pricing model (CAPM) for a security is a linear relationship between the expected excess return of the security and the expected excess return of the market. It was developed by William Sharpe, John Lintner and Jan Mossin. It is a useful framework to discuss idiosyncratic and...
Persistent link: https://www.econbiz.de/10012954859
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …
Persistent link: https://www.econbiz.de/10012421289
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Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach
Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015
capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage … the term structure of government bond yields, the arbitrage-free model we proposed is the extension of the arbitrage …
Persistent link: https://www.econbiz.de/10011389060
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …
Persistent link: https://www.econbiz.de/10011391709
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
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The term structure of bond market liquidity conditional on the economic environment : an analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...
Persistent link: https://www.econbiz.de/10009667173
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The Cross-Section of Currency Volatility Premia
Della Corte, Pasquale - 2019
We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...
Persistent link: https://www.econbiz.de/10012902489
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Tail Risk and Robust Portfolio Decisions
Jin, Xing - 2020
Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy-tailed jump size distributions governing these rare events pose further challenges to econometric estimation. This paper formulates a portfolio choice problem in a multi-asset...
Persistent link: https://www.econbiz.de/10012855002