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Arbitrage opportunities and event impacts on Spanish rights issues
Verdú, Manuel; Carchano, Óscar; Farinós Viñas, … - In: Applied economics letters 31 (2024) 5, pp. 401-421
Persistent link: https://www.econbiz.de/10014469923
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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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Connecting supply, short-sellers and stock returns : research challenges
Reed, Adam V. - In: Journal of accounting & economics 60 (2015) 2/3, pp. 97-103
Persistent link: https://www.econbiz.de/10011438628
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Synchronized Arbitrage and the Value of Public Announcements
Zuckerman, Roy - 2011
This paper tests the idea that arbitrageurs use public announcements as a synchronizing signal. I find that firms publicly identified by hedge fund managers as being overvalued underperform their respective benchmarks by 324 to 376 basis points per month, during the 24 months subsequent to the...
Persistent link: https://www.econbiz.de/10013134126
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Neural Networks and Arbitrage in the VIX
Osterrieder, Joerg - 2020
lead to arbitrage opportunities on the VIX market. Arbitrage is hard to exploit as the potential replication strategy … potentially exploit arbitrage opportunities using VIX futures) using most recently developed machine learning models to intraday …
Persistent link: https://www.econbiz.de/10012835151
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The Economic Value of TIPS Arbitrage Mispricing
Dedes, Vasilis - 2020
Rational frictionless asset pricing models imply that inflation swap rates and break-even inflation rates with same maturity must be equal. The data, however, suggest a persistent positive difference between these two quantities, which the literature attributes to mispricing of Treasury...
Persistent link: https://www.econbiz.de/10012844939
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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