Results 121 to 130 of about 243,052 (302)

Autoregressive multifactor APT model for U.S. Equity Markets [PDF]

Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
core  

Theories of Interest and Their Relation to the Gesell–Keynes Theory

The American Journal of Economics and Sociology, EarlyView.
ABSTRACT We consider theories of interest as they relate to what we will call the Gesell‐Keynes (GK) theory which is essentially a real theory of capital accumulation with a monetary constraint that arises because of a liquidity return on holding money.
Ahmed Anwar
wiley   +1 more source

Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach

Copernican Journal of Finance & Accounting
This 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  

Begetting Silvio Gesell in the Modern Economy: A Marriage of Frederick Soddy and Kenneth Boulding

The American Journal of Economics and Sociology, EarlyView.
ABSTRACT In the Natural Economic Order, first published in 1916, Silvio Gesell warned against a fiat monetary system that in place of controlling the circulation of money with demurrage, sought to manage the system by accommodating demand for liquidity.
Ahmed Anwar
wiley   +1 more source

Between Cryptocurrencies' Risk and Crypto Environmental Attention: The Crypto Environment Attention Index and Volatility in the Cryptocurrencies Market Nexus

Business Ethics, the Environment &Responsibility, EarlyView.
ABSTRACT This study investigates the impact of environmental attention on cryptocurrency market volatility by introducing the Crypto Environmental Attention Index (CEAI), a new metric inspired by Wang et al. (2022) and constructed using daily web search data.
Ines Ghazouani, Zaineb Hlioui, Marwa Zouawi   +2 more
wiley   +1 more source

PROJECTIVE SYSTEM APPROACH TO THE MARTINGALE CHARACTERIZATION OF THE ABSENCE OF ARBITRAGE [PDF]

The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective
María José Muñoz-Bouzo, Miguel Ángel Mirás, Alejandro Balbás   +2 more
core  

On Liquidity Spillovers in Sovereign Bond Spot and Futures Markets During the COVID‐19 Outbreak

Bulletin of Economic Research, EarlyView.
ABSTRACT We examine liquidity spillovers within and between the sovereign bond spot and futures markets in the euro area, covering the periods before, during, and after the COVID‐19‐induced dash for cash episode. Our results indicate that while liquidity spillovers were significantly amplified during the height of the crisis, the magnitude of these ...
Vassilios G. Papavassiliou, Fan Dora Xia
wiley   +1 more source

Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs. [PDF]

In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind.
Lépinette-Denis, Emmanuel, Kabanov, Yuri   +1 more
core  

Dynare replication of “A Model of Secular Stagnation: Theory and Quantitative Evaluation” by Eggertsson et al. (2019)

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

Building a Potemkin village in occupied China: Japan's wartime system of linked trade, 1939–43

The Economic History Review, EarlyView.
Abstract The paper discusses the novel but little‐known exchange rate system of Japanese‐occupied North China during the Second Sino‐Japanese War, in which exporters were given the right to import in the form of a piece of yellow paper, which could be sold in the secondary market.
Shinji Takagi
wiley   +1 more source