Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach
Copernican Journal of Finance & AccountingThis article's core objective is to analyze how firm characteristics collectively effect the risk-adjusted returns of Indian stocks. It aims to understand the simultaneous explanatory power of multiple variables that have shown to predict the cross ...
Sanjay Shanbhag, Kamran Quddus
doaj
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market [PDF]
``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices.
Arvind Krishnamurthy +2 more
core
No-Arbitrage Taylor Rules [PDF]
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the ...
Andrew Ang, Monika Piazzesi, Sen Dong
core
Efficiency in index options markets and trading in stock baskets [PDF]
Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions.
Lucy F. Ackert, Yisong S. Tian
core
Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves [PDF]
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors.
Bianchetti, Marco
core +1 more source
Multifactor Explanations of Asset Pricing Anomalies
, 1996 E. Fama, K. French
semanticscholar +1 more source
Funding Multi-indication Medicines: A Scoping Review of Health Technology Assessment and Reimbursement Frameworks. [PDF]
Appl Health Econ Health PolicyLuc I, Laka M, Carter D, Merlin T.
europepmc +1 more source
Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]
PLoS One, 2023 Wu Q, Kuang X, Wu B, Xu X.
europepmc +1 more source
Purchasing sugar-sweetened beverages in Island Lake Anisininew First Nations. [PDF]
Int J Circumpolar HealthRiediger ND +9 more
europepmc +1 more source
An application of Arbitrage Pricing Theory on KSE-100 Index; A study from Pakistan (2000-2005)
, 2013 Anam Gul, N. Khan
semanticscholar +1 more source