State‐Dependent Relationship Between Cryptocurrency Returns and Credit Spreads
European Financial Management, EarlyView.ABSTRACT This study investigates how overconfident cryptocurrency traders influence the connection between returns and risk premia, proxied by option‐adjusted credit spreads. Using daily data from January 2021 to February 2025, we uncover asymmetry and state dependence: returns decline when spreads widen, particularly during crashes, yet they do not ...
Geul Lee, Doojin Ryu
wiley +1 more source
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures [PDF]
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is ...
Cuong Le Van, Rose-Anne Dana
core
Disagreement and returns: The case of cryptocurrencies
Financial Management, EarlyView.Abstract We present the first evidence of investor‐trading‐based disagreement's influence on cross‐sectional cryptocurrency daily returns. We interpret abnormal trading volume as investor disagreement and find evidence in support of Miller's disagreement model: when short‐sale constraints are binding, high abnormal volume (high disagreement) assets ...
Jon A. Garfinkel +2 more
wiley +1 more source
Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, EarlyView.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source
Call Me Maybe: Corporate Bond Prices Upon Missed Call Opportunities
Financial Management, EarlyView.ABSTRACT In a sample of discretely callable corporate bonds, we find excess returns of approximately 40 bps realized on the release of the issuer's decision to call or not to call. The bonds that could have been profitably called (in‐the‐money bonds) but are not called contribute the most to the bond price jump. We attribute the jump to the revaluation
Alexey Ivashchenko, Michael Rockinger
wiley +1 more source
On the Different Notions of Arbitrage and Existence of Equilibrium [PDF]
, 1999 Rose‐Anne Dana +2 more
openalex +1 more source
The Convertible Arbitrage Strategy Analyzed [PDF]
This paper analyzes convertible bond arbitrage on the Canadian market for the period 1998 to 2004.Convertible bond arbitrage is the combination of a long position in convertible bonds and a short position in the underlying stocks.
Horst, J.R. ter +2 more
core +1 more source
A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
The impact of tax reduction on enterprises' financialization-A quasi-natural experiment based on the reduction of VAT rate. [PDF]
PLoS One, 2023 Duan S, Lu Y, Cheng Y, Liu Q.
europepmc +1 more source
A Necessary and Sufficient Condition for Absence of Arbitrage with Tame Portfolios [PDF]
, 1995 Shlomo Levental, Antolii V. Skorohod
openalex +1 more source