Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models. [PDF]
Entropy (Basel), 2022 Sheng Y, Ma D.
europepmc +1 more source
Does it reasonable to include grid-side energy storage costs in transmission and distribution tariffs? Benefit evaluation based on economic externality. [PDF]
Heliyon, 2023 Huang S, Ye Z, Huang Y.
europepmc +1 more source
Forest through the Trees: Building Cross‐Sections of Stock Returns
The Journal of Finance, EarlyView.ABSTRACT We build cross‐sections of asset returns for a given set of characteristics, that is, managed portfolios serving as test assets, as well as building blocks for tradable risk factors. We use decision trees to endogenously group similar stocks together by selecting optimal portfolio splits to span the stochastic discount factor, projected on ...
SVETLANA BRYZGALOVA +2 more
wiley +1 more source
PERFORMANCE EVALUATION ARBITRAGE PRICING THEORY: EVIDENCE FROM INDIA
, 2022 A. Balachandram
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Mergers and Attributions: An Examination of M&A Terminations in 1996–2022
Journal of Management Studies, EarlyView.Abstract Firms often make attributions regarding their actions in managing relationships with shareholders and investors. While research utilizing attribution theory has found that firms tend to attribute negative outcomes to external factors and positive outcomes to internal ones, this behaviour can have both positive and negative consequences ...
Zhe (Adele) Xing, Xiwei Yi
wiley +1 more source
Explaining the Big Mac Urban‐Rural Price Gap in the United States
Journal of Regional Science, EarlyView.ABSTRACT The Law of One Price (LOP) is a fundamental economic principle, yet its application in regional studies often excludes rural areas due to data limitations. We analyze price equalization across the US using Big Mac prices to address this gap. Our analysis focuses on three key questions: (i) Is there evidence of price equalization between urban ...
Fernanda Alfaro +3 more
wiley +1 more source
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Journal of Time Series Analysis, EarlyView.By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
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Human capital-based four-factor asset pricing model: An empirical study from Pakistan. [PDF]
Heliyon, 2023 Khan N, Zada H, Ahmed S, Shah FA, Jan S.
europepmc +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
An Empirical Examination of the Arbitrage Pricing Theory: Evidences from the U.S. Stock Market [PDF]
, 2019 Mahdy F. Elhusseiny +2 more
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