Results 291 to 300 of about 134,522 (315)
FinTech regulation and banks' risk-taking: Evidence from China. [PDF]
PLoS OneWu Z, Li L, Wang B, Zhang X.
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The Journal of Finance, 1994 Abstract The efficiency of security prices depends upon arbitrage, that is, trading based upon knowledge that the price of an asset is different from its fundamental value. (Although the term ‘arbitrage,’ strictly speaking, refers to an entirely riskless speculation, we use the term in the broader sense common among practitioners.) For ...
James Dow, Gary Gorton
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Ordering Arbitrage Portfolios and Finding Arbitrage Opportunities
SSRN Electronic Journal, 2021Concepts are introduced for analyzing arbitrage portfolios in the face of ambiguity about investor risk preferences and initial portfolio holdings. A Stochastic Arbitrage Opportunity is a self-financing overlay portfolio which enhances every feasible host portfolio for all relevant utility functions.
Stelios Arvanitis, Thierry Post
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No Arbitrage and Arbitrage Pricing: A New Approach
The Journal of Finance, 1993ABSTRACTWe argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price both primitive and derivative securities.
Bansal, Ravi, Viswanathan, S
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Annual Review of Financial Economics, 2010
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda, emphasizing the role of financial institutions and ...
Dimitri Vayanos +3 more
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We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda, emphasizing the role of financial institutions and ...
Dimitri Vayanos +3 more
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SSRN Electronic Journal, 2018 AbstractWe study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the New York Mercantile Exchange (NYMEX) futures contract delivery point but not at other storage locations, where instead, operational factors explain most inventory changes.
Louis H. Ederington +4 more
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Market arbitrage versus agent arbitrage
Omega, 2004Abstract The present paper provides conditions for the consistency among different orderings which may be defined on sets of financial portfolios; in particular, a different reading key for some classical results is proposed. Besides arbitrage (whose impossibility is necessary and sufficient for consistency between the orderings based on prices and ...
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