Results 91 to 100 of about 3,734 (297)

Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]

, 2005
Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
core  

Market Integration and Nonlinear Price Transmission in 19th‐Century British Wheat Markets

Journal of Agricultural Economics, EarlyView.
ABSTRACT Important developments in infrastructure and institutions characterized 19th‐Century wheat markets in Great Britain. Among these developments was the construction of the national rail system which enabled cheaper and more efficient transport of grain and other bulky cargoes between inland towns and ports.
Barry K. Goodwin, A. Ford Ramsey
wiley   +1 more source

Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns

JOIV: International Journal on Informatics Visualization
This work presents a novel approach to determining the risk and return of crude oil stocks by employing Arbitrage Pricing Theory and Quantile Regression.
Sarit Maitra, Vivek Mishra, Sukanya Kundu, Manav Chopra   +3 more
doaj   +1 more source

Is the rent too high? Land ownership and monopoly power

Real Estate Economics, EarlyView.
Abstract Pricing power in real estate markets can reduce housing supply and redevelopment relative to the social optimum. We show how pricing power interacts with popular redevelopment subsidies and zoning regulations. Using building‐level rental income data from NYC, we find that increased concentration is correlated with increased rents.
C. Luke Watson, Oren Ziv
wiley   +1 more source

The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests [PDF]

This paper provides a detailed and extensive examination of the validity of the APT based on maximum likelihood factor analysis of large cross-sections of securities.
Bruce N. Lehmann, David M. Modest
core  

Paradigm Shift in the Making? Geopolitical Challenges and Institutional Changes in the International Monetary System: From Neoliberalism to a Pluralist Multipolar Financial Order

Global Policy, EarlyView.
ABSTRACT This paper examined the critical challenges facing the international monetary system, arguing that they have created conditions for a shift from a neoliberal framework to a pluralist multipolar financial order. Using an interdisciplinary approach that blends international law and international relations, the paper provides an analysis of the ...
Jiangyu Wang
wiley   +1 more source

Modelos multifactores macroeconómicos desde la perspectiva del Arbitrage Pricing Theory (APT)

Análisis Económico, 2014
El planteamiento de un modelo multifactor macroeconómico desde la perspectiva del APT requiere de una adecuada selección de los factores de riesgo, éstos deben tener fácil interpretación, ser robustos en el tiempo y explicar tanto como sea posible la ...
Elitania Leyva Rayón
doaj  

Iron Ore Pricing in China: Financialization Through a Marxist Lens

Abacus, EarlyView.
We offer a Marxist interpretation of financialization as we examine the Chinese market for iron ore and the shift in the pricing mechanism from an annual fixed price to an indexed price from 2010. Drawing upon Marx's theory of the circuit of capital, we illustrate an empirical case of financialization that results from the conflict between social ...
Xun Gong, Eagle Zhang, Corinne Cortese
wiley   +1 more source

Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative in the Mexican stock exchange

Revista Finanzas y Política Económica, 2021
This paper compares the dimension reduction or feature extraction techniques, e.g., Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, which are used as techniques for ...
Rogelio, Salvador Torra Porras, Enric Monte Moreno   +2 more
doaj  

Monetary Policy, Investor Sentiment and Stock Price Bubble: Evidence From China

Accounting &Finance, EarlyView.
ABSTRACT The empirical results indicate that an increase in interest rates may stimulate a significant and persistent stock price bubble, which is consistent with rational asset price bubble theory. This finding suggests that central banks should implement anti‐turbulent monetary policy with caution, since inappropriate tightening may unintentionally ...
Jiahao Gong, Haofan Qiang, Xiaojian Niu, Chante Jian Ding   +3 more
wiley   +1 more source