Results 41 to 50 of about 1,698,577 (227)
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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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
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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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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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Coherent Price Systems and Uncertainty-Neutral Valuation [PDF]
, 2012 We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures.
Beißner, Patrick
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, 2015 Price arbitrage involves taking advantage of an electricity price difference, storing electricity during low-prices times, and selling it back to the grid during high-prices periods.
E. Telaretti, M. Ippolito, L. Dusonchet
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Scope of the arbitrage pricing theory [PDF]
Anali Ekonomskog fakulteta u Subotici, 2019 An important element of the positive portfolio theory which in addition to the Capital Asset Pricing Model (CAPM) provides an important contribution in terms of understanding the relationship between return and risk and pricing of assets in the capital ...
Leković Miljan
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