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Disentangling Investment Returns and Stock Returns: The Importance of Time-to-Build
Kuehn, Lars-Alexander - 2009
I provide new evidence on the failure of the Q-theory. The Q-theory implies the state-by-state equivalence of stock and … the Q-theory. This paper also proposes a rational explanation for this finding. A general equilibrium model with … interpreted as evidence for irrational markets since it cannot be reconciled with the Q-theory of investment. …
Persistent link: https://www.econbiz.de/10009440954
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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
volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … 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 …
Persistent link: https://www.econbiz.de/10009475070
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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
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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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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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Shared Versus Separate Networks - The Impact of Reprovisioning
Sen, Soumya; Guérin, Roch A; Hosanagar, Kartik - 2009
As networks improve and new services emerge, questions arise that affect service deployments and network choices. The Internet is arguably a successful example of a network shared by many services. However, combining heterogeneous services on the same network need not always be the right answer,...
Persistent link: https://www.econbiz.de/10009438861
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Essays in international finance and search theory.
Wicas, Nelson Walter - 1992
This dissertation contains three essays that can be read independently. The first chapter examines how a debt crisis can occur and persist as a result of unanticipated, transitory, real interest rate and commodity price shocks. Using an optimal stopping framework, the debtor country's optimal...
Persistent link: https://www.econbiz.de/10009439095