Results 31 to 40 of about 891 (167)

Rating of LQ-45 stock index performance credibility in Indonesia Stock Exchange

Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2019
This study aims to analyze stock performance credibility using the Capital Asset Pricing Model (CAPM) method, the Arbitrage Pricing Theory (APT) method, the Fama-French Three-Factor Model (FFTFM), and the 2013-2017 LQ-45 Stock Performance rating.
Tona Aurora Lubis, Ade Octavia, Widyanti Fitri   +2 more
doaj   +1 more source

An investigation of the price discovery role of futures markets: A dynamic time warping analysis of the United States corn markets

Agribusiness, EarlyView.
Abstract Futures markets are critical to price discovery and often dominate spot markets. We analyze the linkages between daily corn futures and spot prices in the United States using dynamic time warping. This nonparametric pattern recognition technique has several advantages over traditional time series methods.
Dragan Miljkovic, Puneet Vatsa, Frayne Olson   +2 more
wiley   +1 more source

The Arbitrage Pricing Model: A Pedagogic Derivation and a Spreadsheet-Based Illustration

Spreadsheets in Education, 2016
This paper derives, from a pedagogic perspective, the Arbitrage Pricing Model, which is an important asset pricing model in modern finance. The derivation is based on the idea that, if a self-financed investment has no risk exposures, the payoff from the
Clarence C. Y. Kwan
doaj   +2 more sources

American Depositary: A Case Study for Brazilian Market [PDF]

Journal of Systemics, Cybernetics and Informatics, 2012
Specialists often question market efficiency. Some works suggest arbitrage opportunities in several financial operations. Such opportunities can be explained mainly by information asymmetry, since pricing in the stock market is directly linked to ...
André Machado Caldeira, Giovanna Lamastra Pacheco, Walter Gassenferth, Maria Augusta Soares Machado   +3 more
doaj  

The Laws of Motion of the Broker Call Rate in the United States

International Journal of Financial Studies, 2019
In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin ...
Alex Garivaltis
doaj   +1 more source

Testing The Indonesian Stock Market Arbitrage Pricing Model

Jurnal Manajemen, 2023
This research aims to explain the return and risk premium using an APT model from the Indonesian stock market. The study uses a two-stage regression model. This study uses a sample of stocks included in the Kompas100 index.
Wawan Ichwanudin, Roni Kambara
doaj   +1 more source

The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics

Agribusiness, EarlyView.
ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley   +1 more source

Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets

Risks
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three
Viviana Fanelli
doaj   +1 more source

The Bitter Taste of Brazil's Temporary Import Ban on Robusta Coffee

Agribusiness, EarlyView.
ABSTRACT Brazil, a leading Robusta coffee producer and exporter, faced a significant drought in 2016–2017, which drastically reduced production and depleted stocks. Consequently, Brazil temporarily permitted the import of one million 60‐kg bags of Robusta coffee in the spring 2017. An import ban was imposed shortly afterward due to lobbying by domestic
Hanifi Otgun, John Beghin, Fernando Maximiliano   +2 more
wiley   +1 more source

Heterogeneity in Food Price Inflation Convergence Across the EU: Evidence From Club Dynamics and Structural Breaks

Agribusiness, EarlyView.
ABSTRACT This study examines food price inflation rate convergence among EU27 Member States from 2005 to 2024, focusing on structural breaks, external shocks, and regional disparities. Using panel unit root tests and club convergence analysis, the findings reveal no overall convergence but identify multiple convergence clubs.
Tibor Bareith, Imre Fertő
wiley   +1 more source