Results 81 to 90 of about 6,903 (211)
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
The Convertible Arbitrage Strategy Analyzed
This paper analyzes convertible bond arbitrage on the Canadian market for the period 1998 to 2004.Convertible bond arbitrage is the combination of a long position in convertible bonds and a short position in the underlying stocks.
Horst, J.R. ter +2 more
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It should be expected from this paper an expansion on some distinctive issues regarding arbitrage portfolios: i) a definition on arbitrage portfolios that enables adjustments to SML and CML environments; ii) sufficient conditions to set up arbitrage ...
Rodolfo Apreda
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Arbitrage Pricing Simplified [PDF]
SSRN Electronic Journal, 2003 Markku Kallio, William T. Ziemba
openaire +1 more source
Asset mispricing, arbitrage, and volatility [PDF]
Market efficiency remains a contentious topic among financial economists. The theoretical case for efficient markets rests on the notion of risk-free, cost-free arbitrage. In real markets, however, arbitrage is not risk-free or cost-free.
William R. Emmons, Frank A. Schmid
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On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach). [PDF]
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view suffers from many
Rodolfo Apreda
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Arbitrage-free bond pricing with dynamic macroeconomic models [PDF]
The authors examine the relationship between changes in short-term interest rates induced by monetary policy and the yields on long-maturity default-free bonds.
Burton Hollifield +3 more
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Autoregressive multifactor APT model for U.S. Equity Markets
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
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A Note on the Pricing of Real Estate Index Linked Swaps [PDF]
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that
Björk, Tomas, Clapham, Eric
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Asymptotic Maturity Behavior of the Term Structure [PDF]
Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with ...
Klaas Schulze
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