Results 101 to 110 of about 3,734 (297)
Estudio de un portafolio en la frontera de media-desviación estándar no observable
Análisis Económico, 2005 En este artículo se demuestra que si un portafolio p está en la frontera generada por N instrumentos financieros, entonces el portafolio p está en la frontera generada por cualquier subconjunto de M (M < N) de los N instrumentos financieros y el mismo ...
Eneas A. Caldiño García
doaj
The Impacts of Macroeconomic Variables on the Iranian Stock Market [PDF]
پژوهشهای اقتصادی, 2009 This paper is an attempt to investigate the impacts of macroeconomic variables on capital market in Iran using quarterly observations for the period 1991Q2 to 2007Q1.
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doaj
Anti‐Takeover Provisions and Corporate Tax Avoidance
Accounting &Finance, EarlyView.ABSTRACT We examine the impact of anti‐takeover provisions (ATPs) on corporate tax avoidance in firms listed on Chinese A‐share markets, using rule‐based textual analysis over 2009–2023. In the absence of a unified anti‐takeover statute in China, legal reforms since 2006 have expanded corporate bylaw autonomy, enabling managers to adopt charter‐based ...
Zhiying Hu +3 more
wiley +1 more source
Infinitely many securities and the fundamental theorem of asset pricing [PDF]
Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Anna Downarowicz, Alejandro Balbas
core
Who Moves First? Price Discovery by Institutional and Retail Investors
Accounting &Finance, EarlyView.ABSTRACT This paper uses 77 million Finnish trades, classified as foreign institutional or domestic retail, to examine the drivers of price discovery. The results show that foreign institutional investors dominate price discovery overall, including during the Global Financial Crisis. Their informational advantage is explained by buy‐ and sell‐initiated
Zheng Wu +2 more
wiley +1 more source
ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION
Economic Review, 2016 Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to ...
Özge SEZGİN ALP +2 more
doaj +2 more sources
Numeraire Invariance and application to Option Pricing and Hedging
This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are
Jamshidian, Farshid
core
Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley +1 more source
Project valuation and investment decisions: CAPM versus arbitrage
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates ...
Magni, Carlo Alberto
core
Asian Economic Policy Review, EarlyView.ABSTRACT Large‐scale transport infrastructure can reshape urban land markets by changing accessibility, yet causal evidence on large‐scale bridge projects remains limited, especially in developing countries. This paper examines the impact of the Mumbai Trans Harbour Link (MTHL), which opened in January 2024, on real estate prices in the Mumbai City ...
Hana Ashida +5 more
wiley +1 more source