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Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...

Persistent link: https://www.econbiz.de/10012421289

Ambiguity Aversion and the Arbitrage Pricing Theory

Polkovnichenko, Valery - 2010

We consider a linear factor APT model and assume that agents are ambiguity averse with respect to payoffs of arbitrage portfolios. In contrast to the standard result, pricing errors need not converge to zero in the limit as the number of assets goes to infinity. Even in the case of exact factor...

Persistent link: https://www.econbiz.de/10013142098

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10013233142

Systematic Risk of Cdos and Cdo Arbitrage

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989251

Performance Measurement with the Arbitrage Pricing Theory : A New Framework for Analysis

Connor, Gregory - 2011

This paper develops a theory and econometric method of portfolio performance measurement using a competitive … equilibrium version of the Arbitrage Pricing Theory. We show that the Jensen coefficient and the appraisal ratio of Treynor and … Black are theoretically compatible with the Arbitrage Pricing Theory. We construct estimators for the two performance …

Persistent link: https://www.econbiz.de/10013121110

The True Invariant of an Arbitrage Free Portfolio : Finite Liquidity Effect

Schmidt, Anatoly B. - 2012

The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite …

Persistent link: https://www.econbiz.de/10013101006

Limits of Arbitrage and Primary Risk Taking in Derivative Securities

Tian, Meng; Wu, Liuren - 2021

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as …

Persistent link: https://www.econbiz.de/10013244989

Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500

Stübinger, Johannes - 2018

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

Persistent link: https://www.econbiz.de/10011781705

Behavioral Investment Strategy Matters : A Statistical Arbitrage Approach

Sun, David S. - 2013

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...

Persistent link: https://www.econbiz.de/10013091434

Arbitrage Portfolios

Kim, Soohun - 2020

We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristics' predictive power before any...

Persistent link: https://www.econbiz.de/10012851169