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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, Arianna - 2022
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …
Persistent link: https://www.econbiz.de/10013292792
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Anomalous Deal Return Capture : A Cross-Sectional Study of Three Hypothetical Global Merger Risk Arbitrage Portfolios 2000-2016
McCarron, Daniel - 2017
This paper examines the annual risks and returns of three disparate, hypothetical merger arbitrage portfolio strategies … December 2016 time period. Previously written and undoubtedly the most prominent literature into M&A and merger arbitrage … [Schleifer & Vishny ‘97], [Mitchell & Pulvino ‘01] and [Baker & Savasoglu ‘02] focus on the limits of pure arbitrage the creation …
Persistent link: https://www.econbiz.de/10012958921
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The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
Kim, Gi H. - 2019
We provide a comprehensive empirical analysis on the implication of CDS-Bond basis arbitrage for the pricing of …
Persistent link: https://www.econbiz.de/10012905919
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Trading and Arbitrage in Cryptocurrency Markets
Makarov, Igor - 2019
Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price … capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of … large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations …
Persistent link: https://www.econbiz.de/10012899430
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Trading Costs
Frazzini, Andrea - 2018
Using 1.7 trillion dollars of live trade execution data from a large institutional money manager across 21 developed equity markets over a 19-year period, we measure the real-world trading costs and price impact function of a large trader. We provide a novel description of how costs vary across...
Persistent link: https://www.econbiz.de/10012913119
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Do transaction costs prevent arbitrage in the market for crude oil? : evidence from a threshold autoregression
Stevens, Jason - In: Applied economics letters 22 (2015) 1/3, pp. 169-172
Persistent link: https://www.econbiz.de/10010482015
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Navigating the factor zoo around the world : an institutional investor perspective
Bartram, Söhnke M.; Lohre, Harald; Pope, Peter F.; … - In: Journal of business economics : JBE 91 (2021) 5, pp. 655-703
Persistent link: https://www.econbiz.de/10012588809
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Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2004
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10009524821
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Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10008758073
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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
We show that the slight possibility of a macroeconomic disaster of moderate magnitude can explain important features across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and volatility of credit spreads, generates a flexible credit term...
Persistent link: https://www.econbiz.de/10013109094