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Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …

Persistent link: https://www.econbiz.de/10010499534

Risk Arbitrage, A Probabilistic Approach Over 1998-2010 in the US and Canada

Dieudonne, Stephane - 2010

This document is a quantitative analysis of risk arbitrage strategy across a sample of 1,911 M&A deals announced … risk arbitrage spread calculated over the first five days following the announcement of the bid. Ultimately, it is hoped …

Persistent link: https://www.econbiz.de/10013135952

Is ESG a Systematic Risk Factor for US Equity Mutual Funds?

Jin, Ick - 2021

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

Persistent link: https://www.econbiz.de/10013252157

Explaining asset pricing puzzles associated with the 1987 market crash

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...

Persistent link: https://www.econbiz.de/10008699179

No good deals - no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...

Persistent link: https://www.econbiz.de/10009679505

Forecasting asset returns using Nelson-Siegel factors estimated from the US yield curve

Guidolin, Massimo; Ionta, Serena - In: Econometrics : open access journal 13 (2025) 2, pp. 1-36

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

Persistent link: https://www.econbiz.de/10015437122

US Sector Rotation with Five-Factor Fama-French Alphas

Sarwar, G - 2017

In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five factor model fits better the returns of US sector portfolios than the three factor model, but that...

Persistent link: https://www.econbiz.de/10012942790

US Sector Rotation with Five-Factor Fama-French Alphas

Sarwar, G - 2017

In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that...

Persistent link: https://www.econbiz.de/10012954123

Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs

Cakici, Nusret - 2014

This paper adopts the methodology in Bali and Cakici (2008) in tracking the evolution of the relation between equity REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample period, we study this relation for (i) all sample REITs,...

Persistent link: https://www.econbiz.de/10013056735

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

less costly to arbitrage. In contrast to this overreaction, a zero-cost contrarian trading strategy with extreme decile …

Persistent link: https://www.econbiz.de/10014254878