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Positive alphas and a generalized multiple-factor asset pricing model

Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10011446005

Weak-form market efficiency of the Brazilian exchange rate : evidence from an artificial neural network model

Palma, Andreza Aparecida; Sartoris, Alexandre - In: Latin American business review : journal of the … 17 (2016) 2, pp. 163-176

Persistent link: https://www.econbiz.de/10011533040

Arbitrage in markets with bid-ask spreads : the fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account

Rola, Przemysław - In: Annals of finance 11 (2015) 3/4, pp. 453-475

Persistent link: https://www.econbiz.de/10011459517

Strong asymptotic arbitrage in the large fractional binary market

Cordero, Fernando; Perez-Ostafe, Lavinia - In: Mathematics and financial economics 10 (2016) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10011485902

Capital structure arbitrage revisited

Wojtowicz, Marcin - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

Persistent link: https://www.econbiz.de/10010415520