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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

Three Essays in Empirical Asset Pricing

Jacobs, Thomas A. - 2010

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally...

Persistent link: https://www.econbiz.de/10009477864

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

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

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

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

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

Essays on international corporate cash holdings

Jia, Yonghong - 2011

This dissertation is composed of two distinct chapters. The first chapter is concerned with the secular trends in corporate cash holdings and the determinants of the changing cash policies for seven industrialized countries--Australia, Canada, France, Germany, Japan, the US, and UK. In the first...

Persistent link: https://www.econbiz.de/10009431815