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Benchmarks as Limits to Arbitrage : Understanding the Low-Volatility Anomaly

Baker, Malcolm P. - 2011

Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by the fact that the typical institutional investor's mandate to beat a fixed benchmark discourages arbitrage activity in...

Persistent link: https://www.econbiz.de/10013131199

In-Arrears Term Structure Products : No Arbitrage Pricing Bounds and the Convexity Adjustments

Sandmann, Klaus - 2012

When pricing an in-arrears term structure product, the valuation usually boils down to determining the price of a vanilla product and of some additional part. To computer the price of the additional part, sometimes a specific term structure (like Gaussian or LIBOR) is assumed. Sometimes...

Persistent link: https://www.econbiz.de/10013116713

Asymptotic Arbitrage in Large Financial Markets with Friction

Lepinette, Emmanuel - 2012

In the modern version of Arbitrage Pricing Theory suggested by Kabanov and Kramkov the fundamental fi nancially … probabilities. The classical theory deals with frictionless markets. In the present paper we extend it to markets with transaction …

Persistent link: https://www.econbiz.de/10013107806

Arbitrage Pricing Theory : Empirical Evidence from Turkish Stock Market

Mubeen, Muhammad - 2015

theories. Validity of CAPM and Preference of APT over CAPM has been interest of academia as well as professionals. This …

Persistent link: https://www.econbiz.de/10013015076

The APT Model and Variations in the Term Structure of Interest Rates

Madsen, Claus Anderskov - 2009

The main object of this working paper is twofold; firstly, a general model for the variation in the term structure of interest rates, and secondly a universal return model will be defined that combines the expected rate-of-return (ROR) with the pre-defined shift functions. This general model of...

Persistent link: https://www.econbiz.de/10013155876

Macroeconomic Forces and Arbitrage Pricing Theory

French, Jordan - 2017

factor analysis as the least statistically significant model. For the six countries tested, the arbitrage pricing theory was …

Persistent link: https://www.econbiz.de/10012961878

Arbitrage Pricing Theory and the Capital Asset Pricing Model : A Comparative Study in the Indian Scenario

Raghuram, G. - 2017

A comparative study of the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) was done in the … , rAPT, rCAPM are the actual returns, APT predicted returns and CAPM predicted returns respectively. The resulting alpha … explain the CAPM residuals, the CAPM was not able to significantly explain the APT residuals. Thus, the APT emerged the …

Persistent link: https://www.econbiz.de/10012962044

Arbitrage Pricing Theory for Idiosyncratic Variance Factors

Renault, Eric - 2019

We develop an Arbitrage Pricing Theory framework extension to study the pricing of squared returns/volatilities. We …

Persistent link: https://www.econbiz.de/10012900711

Arbitrage Pricing Theory in Ergodic Markets

Frahm, Gabriel - 2017

Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT … enables me to apply the theory of Hilbert spaces in a natural way. The expected return on any asset can always be approximated …

Persistent link: https://www.econbiz.de/10012944667

Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

Chamberlain, Gary - 2010

We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span...

Persistent link: https://www.econbiz.de/10012763049