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The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices
Adjemian, Michael K.; Kuethe, Todd H.; Kunda, Eugene L. - 2010
, significant arbitrage opportunities over the second halfof the last decade. Yet, terminal elevator operators—perhaps the only … demonstrates conditions under which a profit maximizing warehouseman foregoes available arbitrage. We find that making delivery …
Persistent link: https://www.econbiz.de/10009446079
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Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin
Tack, Jesse B.; LaFrance, Jeffrey T. - 2010
supports these assumptions. An empirical application of the arbitrage equations providesevidence that risk aversion and …
Persistent link: https://www.econbiz.de/10009446523
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for … argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as …
Persistent link: https://www.econbiz.de/10009475070
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Three Essays in Empirical Asset Pricing
Jacobs, Thomas A. - 2010
Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon …
Persistent link: https://www.econbiz.de/10009477864
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Die Ermittlung des Conversion Factors im Futures-Handel
Wöster, Christoph - 2005
Börsengehandelte Termingeschäfte sind durch eine starke Standardisierung der Verträge geprägt, die sich auch auf das zu liefernde Basisinstrument erstreckt. Mit Auflegung eines Terminkontrakts werden die Wertpapiere benannt, die der Erfüllung des Geschäfts dienen können. Weicht deren...
Persistent link: https://www.econbiz.de/10009452486
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Identifying Arbitrage Opportunities in E-Markets
Debenham John - 2002
use the advice available tothem to identify arbitrage opportunities, and second how the market willevolve through …
Persistent link: https://www.econbiz.de/10009482394
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Beiträge zur Analyse von Finanzmarktmodellen mit Transaktionskosten
Claas Prelle - 2007
Gegenstand dieser Arbeit ist die Untersuchung von Finanzmarktmodellen, die für den An- und Verkauf von Finanzgütern anfallende Kosten berücksichtigen, sogenannte Transaktionskosten. Zentrales Thema ist dabei ein Portfoliooptimierungsproblem in einem Black-Scholes-Modell mit n Aktien bei...
Persistent link: https://www.econbiz.de/10009429000
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ZUM DESINVESTITIONSVERHALTEN LANDWIRTSCHAFTLICHER UNTERNEHMER: ERGEBNISSE EINER EXPERIMENTELLEN UNTERSUCHUNG
Maart, Syster Christin; Musshoff, Oliver; Odening, Martin; … - 2010
B1_3
Persistent link: https://www.econbiz.de/10009442716
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Análise de Viabilidade Econômico-Financeira de uma Unidade de Processamento de Frutas
Nardelli, Paula Moreira; Macedo, Marcelo Alvaro Da Silva - 2008
De forma geral, as pessoas físicas e jurídicas devem decidir onde investir sua renda, de acordo com o risco e com o retorno esperado de cada alternativa de investimento disponível. Assim sendo, o investidor que decide empregar seus recursos financeiros na atividade produtiva deverá fazer uma...
Persistent link: https://www.econbiz.de/10009442758
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DETERMINANTES DA RENDA DO TRABALHO NO BRASIL NO PERÍODO DE 2002 A 2006.
Santos, Gilnei Costa; Bastos, Patricia Melo; Rocha, … - 2008
O Brasil figura entre os países com maior nível de disparidade de renda do mundo. Fato esse que justifica a vasta literatura sobre os determinantes da renda na economia brasileira. Essa literatura aponta que, dentre os determinantes desta disparidade, além de fatores como o mercado de...
Persistent link: https://www.econbiz.de/10009442808