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structure classifies rich versus cheap bonds. Convertible bond arbitrage trades, where the trader buys the bond and hedges a … combination of the underlying assets, are subsequently identified. Each bond’s relative cheapness translates to its arbitrage …
Persistent link: https://www.econbiz.de/10013250290
Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log base arbitrage are …
Persistent link: https://www.econbiz.de/10013029266
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
, 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
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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
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
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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