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Estimating Unknown Arbitrage Costs : Evidence from a 3-Regime Threshold Vector Error Correction Model

Ters, Kristyna - 2018

conditions such as unknown arbitrage costs in markets with a persistent non-zero basis between two similar financial market … basis trades can be inferred from the estimated no-arbitrage regime. Our methodology allows us to quantify overall … transaction costs for an arbitrage trade in markets where trading costs are opaque or unknown, as in credit risk or index …

Persistent link: https://www.econbiz.de/10012929611

Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross- Listed on the London Stock Exchange

Kim, Oksana - 2018

nonzero profits. Second, we document profitable arbitrage opportunity surrounding the announcement to adopt IFRS, which is an …

Persistent link: https://www.econbiz.de/10012931071

Government Intervention and Arbitrage

Pasquariello, Paolo - 2017

Direct government intervention in a market may induce violations of the law of one price in other, arbitrage …

Persistent link: https://www.econbiz.de/10012973196

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis : Evidence from Intraday Euro Area Sovereign Debt Markets

Gyntelberg, Jacob - 2016

We find evidence that in the market for euro area sovereign credit risk, arbitrageurs engage in basis trades between credit default swap (CDS) and bond markets only when the CDS-bond basis exceeds a certain threshold. This threshold effect is likely to reflect costs that arbitrageurs face when...

Persistent link: https://www.econbiz.de/10012979598

Stock Index Arbitrage in the Turkish Market

Slivka, Ronald T. - 2016

For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage … costs. This study also extends the literature of stock index arbitrage by utilizing intraday data to compute returns for … forward and reverse BIST 30 arbitrage once per minute for 2014 and 2015 futures contracts. These returns enable identification …

Persistent link: https://www.econbiz.de/10013003009

Inattention as a Limit to Arbitrage : Evidence from School Holidays

Fang, Lily H. - 2016

inattention which can act as a limit to arbitrage and has pricing implications …

Persistent link: https://www.econbiz.de/10013005646

Deleveraging Risk

Richardson, Scott A. - 2016

Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors...

Persistent link: https://www.econbiz.de/10013007805

Limits of Arbitrage under the Microscope : Evidence from Detailed Hedge Fund Transaction Data

von Beschwitz, Bastian - 2017

We exploit detailed transaction and position data for a sample of long-short equity hedge funds to document new facts about the trading activity of sophisticated investors. We find that the initiation of both long and short positions is associated with significant abnormal returns, suggesting...

Persistent link: https://www.econbiz.de/10012956100

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis : Evidence from Intraday Euro Area Sovereign Debt Markets

Gyntelberg, Jacob - 2017

makes arbitrage trades riskier, leading arbitrageurs to demand a higher compensation for increased risk. Our findings help …

Persistent link: https://www.econbiz.de/10012957749

A Market Neutral Statistical Arbitrage Trading Model

Larsson, Erik - 2017

The momentum effect is a systematic inefficiency in the market that can be exploited by a trading strategy. This conclusion is supported by theoretical and empirical evidence. But the academic research that tries to quantify the performance of this kind of strategy often relies on a methodology...

Persistent link: https://www.econbiz.de/10012962784