Liquidity and Arbitrage in the Market for Credit Risk
, 2012 Johann U. de Villiers
openalex +1 more source
Media Sentiment and Price Run‐Ups
European Financial Management, EarlyView.ABSTRACT We empirically test competing hypotheses about the role of financial media sentiment in price run‐ups. Our global analysis of unusual price increases in stock market segments provides no evidence for long‐term market overreactions fuelled by media reporting.
Heiko Jacobs, Alexander Lauber
wiley +1 more source
A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
, 2020 Martin Herdegen, Nazem Khan
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Exploring Risk Premia, Pricing Kernels, and No-Arbitrage Restrictions in Option Pricing Models
, 2021 Steven L. Heston +2 more
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Canonical term-structure models with observable factors and the dynamics of bond risk premiums [PDF]
We study the dynamics of risk premiums on the German bond market, employing no-arbitrage term-structure models with both observable and unobservable state variables, recently popularized by Ang and Piazzesi (2003).
Marcello Pericoli, Marco Taboga
core
Call Me Maybe: Corporate Bond Prices Upon Missed Call Opportunities
Financial Management, EarlyView.ABSTRACT In a sample of discretely callable corporate bonds, we find excess returns of approximately 40 bps realized on the release of the issuer's decision to call or not to call. The bonds that could have been profitably called (in‐the‐money bonds) but are not called contribute the most to the bond price jump. We attribute the jump to the revaluation
Alexey Ivashchenko, Michael Rockinger
wiley +1 more source
Risk and Return of Merger Arbitrage in the UK: 2001 to 2004
, 2007 Patrick Kearney +2 more
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A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
Arbitrage Equilibrium, Invariance, and the Emergence of Spontaneous Order in the Dynamics of Bird-like Agents. [PDF]
Entropy (Basel), 2023 Sivaram A, Venkatasubramanian V.
europepmc +1 more source
Has Financial Innovation Made the World Riskier? CDS, Regulatory Arbitrage and Systemic Risk
, 2012 Tanju Yorulmazer
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