Results 31 to 40 of about 6,903 (211)
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
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An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
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No arbitrage and closure results for trading cones with transaction costs [PDF]
, 2008 In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper (Schachermayer in Math. Finance 14:19–48, 2004). We give a necessary and sufficient condition for ${\mathcal{A}}$ , the cone of claims attainable from zero
Warren, Jon +5 more
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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 +3 more
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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
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Does investors’ site visits improve the capital market pricing efficiency?
Heliyon, 2023 This article empirically tested the impact of investors' site visits on capital market pricing efficiency. Leveraging the data from 2009 to 2022 of Shenzhen Stock Exchange's listed companies, we found that: (1) Investors' site visits could reduce stock ...
Nian Li +5 more
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Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets
RisksIn 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
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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 +2 more
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Projective system approach to the martingale characterization of the absence of arbitrage [PDF]
, 2001 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
Balbás, Alejandro +2 more
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No-Arbitrage Principle in Conic Finance
Risks, 2020 In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to the existence of an equivalent martingale measure.
Mehdi Vazifedan, Qiji Jim Zhu
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