Results 101 to 110 of about 134,260 (327)

Interest in the short interest: The rise of private‐sector data

Contemporary Accounting Research, EarlyView.
Abstract Short interest is currently required to be disclosed twice per month, but regulators have sought to increase this frequency. Meanwhile, short interest information from private third‐party vendors has emerged to meet investor demand on a daily basis.
Yong Chen, Minjae Kim, John McInnis, Wuyang Zhao   +3 more
wiley   +1 more source

Leveraging Seawater Thermal Energy Storage and Heat Pumps for Coupling Electricity and Urban Heating: A Techno-Economic Analysis

Energies
This paper presents an economic assessment of seawater thermal energy storage (TES) integrated with industrial heat pumps to couple renewable electricity generation with urban district heating networks.
Timur Abbiasov, Aldo Bischi, Manfredi Gangi, Andrea Baccioli, Paolo Santi, Carlo Ratti   +5 more
doaj   +1 more source

The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market

Ekonometria, 2021
The main aim of the paper was to prove that the complete Black-Scholes-Merton regime- -switching Lévy market is characterized by an absence of arbitrage.
Anna Sulima
doaj  

How Prevalent is Tax Arbitrage? Evidence from the Market for Municipal Bonds [PDF]

Although tax arbitrage is central to the literatures on tax capitalization, implicit taxes, and even capital structure, there is little empirical evidence of the extent to which firms actually engage in tax arbitrage. This paper provides some evidence on
Austan Goolsbee, Edward Maydew, Merle Erickson   +2 more
core  

HEDGING UNDER ARBITRAGE [PDF]

Mathematical Finance, 2012
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous‐time Markovian context. This holds true in market models in which no equivalent local martingale measure exists but only a square‐integrable market price of risk.
openaire   +5 more sources

The leaders' shadow: Excessive information spillover in the Chinese stock market

Accounting &Finance, EarlyView.
Abstract This study investigates information spillover from industry leaders to peer firms during the leaders' earnings announcements (EAs) in the Chinese stock market. We find a positive information spillover, which is subsequently corrected when peers announce their own earnings, indicating excessive information spillover (overreaction).
Jiaxin Duan, Lei Lu, Yixin Wei, Fangyi Yin   +3 more
wiley   +1 more source

The Limits of Arbitrage [PDF]

In traditional models, arbitrage in a given security is performed by a large number of diversified investors taking small positions against its mispricing.
Andrei Shleifer, Robert W. Vishny
core  

Martingales and arbitrage: a new look [PDF]

, 2003
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
core   +1 more source

Measuring the time‐varying market efficiency in the prewar and wartime Japanese stock market, 1924–1943

Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.
Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley   +1 more source

Arbitrage Portfolios [PDF]

It should be expected from this paper an expansion on some distinctive issues regarding arbitrage portfolios: i) a definition on arbitrage portfolios that enables adjustments to SML and CML environments; ii) sufficient conditions to set up arbitrage ...
Rodolfo Apreda
core