Idiosyncratic Risk, Costly Arbitrage and Asymmetry: Evidence from Pairs Trading
, 2016 Stephanie Sarah Riedinger
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Replication Data for: Limits of Arbitrage and Primary Risk Taking in Derivative Securities
, 2023 Liuren Wu
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The Effects of Regulatory Office Closures on Bank Behavior
Journal of Money, Credit and Banking, EarlyView.Abstract We investigate if the decentralized structure of regulatory office networks influences supervisory outcomes and bank behavior. Following the closure of an office, banks previously supervised by that office increase their lending and risk‐taking.
IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE
wiley +1 more source
Forecasting of virtual power plant generating and energy arbitrage economics in the electricity market using machine learning approach. [PDF]
Sci RepSarathkumar TV +5 more
europepmc +1 more source
Approximating Risk Premium on a Parametric Arbitrage-Free Term Structure Model
, 2014 Caio Almeida +2 more
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Deposit Competition and Mortgage Securitization
Journal of Money, Credit and Banking, EarlyView.Abstract We study how deposit competition affects a bank's decision to securitize mortgages. Exploiting the state‐specific removal of deposit market caps across the U.S. as a source of competition, we find a 7.1 percentage point increase in the probability that banks securitize mortgage loans.
DANNY MCGOWAN +2 more
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Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
europepmc +1 more source
Tariffs and Foreign Direct Investment in a Dynamic North–South Model
Journal of Money, Credit and Banking, EarlyView.Abstract This paper examines how import tariffs by a developed country (the North) and a developing country (the South) affect innovation and foreign direct investment (FDI) using a quality ladder model. We show that a Northern import tariff raises the relative wage of Northern labor, but impedes innovation and FDI. This may worsen Northern welfare. By
TATSURO IWAISAKO, HITOSHI TANAKA
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This Little Piggy Went to Market: The Regulation of Risk Arbitrage after Boesky
, 1988 Roger J. Dennis
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Investor Sentiment, Managerial Manipulation, and Stock Returns
Journal of Money, Credit and Banking, EarlyView.Abstract The degree of earnings manipulation has been shown to be positively associated with stock returns at the aggregate level but negatively so in the cross‐ section. We examine, both theoretically and empirically, the role of investor sentiment in accounting for such relations.
JIAJUN JIANG, QI LIU, BO SUN
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