Narrow search
Showing 1 - 10 of 92
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
GOSWAMI, GAUTAM; SHRIKHANDE, MILIND; WU, LIUREN - 2002
We study the behavior of real exchange rates in a two-country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...
Persistent link: https://www.econbiz.de/10009440709
Cover Image
Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?
Lothian, James R.; Taylor, Mark P. - 2003
Using long-span data on the dollar-sterling and dollar-franc real exchange rates over the past two centuries, we apply the findings of various strands of the recent literature in order to examine the statistical and economic significance of the Harrod-Balassa-Samuelson effect (the effect of...
Persistent link: https://www.econbiz.de/10009440727
Cover Image
Purchasing power parity in developing countries: Evidence from conventional and fractional cointegration tests
Arize, A. C.; Malindretos, John; Grivoyannis, Elias C. - 2004
This paper examines the long-run validity of purchasing power parity (PPP) for fourteen developing countries. The period examined is 1973:4 through 2002:8. The methods of Elliot, Rothemberg and Stock (1996), Kwiattkowski et al. (1992) and Geweke and Porter-Hudak (1983) are employed to detect the...
Persistent link: https://www.econbiz.de/10009441661