Results 131 to 140 of about 156,527 (368)
Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach [PDF]
This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to
Fabrice Riva, Laurent Deville
core
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 +3 more
wiley +1 more source
Arbitrage in the foreign exchange market: Turning on the microscope [PDF]
This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick ...
Dagfinn Rime +2 more
core +3 more sources
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 +2 more
core
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
, 1982 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 ...
G. Chamberlain, M. Rothschild
semanticscholar +1 more source
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
Dynamic Arbitrage Gaps for Financial Assets [PDF]
In this paper we are concerned with the existence of a dynamic arbitrage gap that evolves out of an adjustment process for disequilibrium prices, within a complex dynamics framework which takes into account the market microstructure and transactions ...
Rodolfo Apreda
core
Economic Inquiry, Volume 63, Issue 2, Page 403-423, April 2025.Abstract This paper replicates the study “A Model of Secular Stagnation: Theory and Quantitative Evaluation” by Eggertsson et al. using the Dynare toolkit. Replication is important as it confirms the results of the original article, provides a user‐friendly version using Dynare, and shows how to deal with large‐scale models with occasionally binding ...
Alex Crescentini, Federico Giri
wiley +1 more source