Results 311 to 320 of about 7,235,439 (370)

Synchronization risk and delayed arbitrage

Journal of Financial Economics, 2002
We argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk—which is distinct from noise trader risk and fundamental risk—arises in our model because arbitrageurs become sequentially aware of mispricing and they incur holding costs.
Dilip Abreu, Markus K Brunnermeier
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Merger Arbitrage Risk Model

SSRN Electronic Journal, 2007
A traditional VaR approach is not suitable to assess the risk that merger arbitrage funds carry in their portfolios. We propose a simple two-state or three-state model that captures the risk characteristics of the deals in which merger arbitrage funds invest.This model has been tested on a set of mergers and acquisitions between large US public ...
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Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market

Wilmott, 2018
This paper describes a risk arbitrage set of trades using the Nikkei put warrants traded in Toronto and New York around the time of the great 1990 crash in Japanese stock and land prices.
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Arbitrage Asset Pricing under Exchange Risk

The Journal of Finance, 1991
ABSTRACTThis paper extends the APT to an international setting. Specifying a linear factor return‐generating model in local currency terms, we show that the usual risk‐diversification rule in the APT does not yield a riskless portfolio unless currency fluctuations obey the same factor model as asset returns.
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Agricultural Arbitrage and Risk Preferences

2007
A structural inter-temporal model of agricultural asset arbitrage equilibrium is developed and applied to agriculture in the North-Central region of the U.S. The data is consistent with unifying level of risk aversion. The levels of risk aversion are more plausible than previous estimates for agriculture.
Pope, Rulon D., LaFrance, Jeffrey T., Just, Richard E., Pope, Rulon D., LaFrance, Jeffrey T., Just, Richard E.   +5 more
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Arbitrage, Risk Arbitrage and the Favorite-longshot Bias [PDF]

AbstractThe following sections are included:The favorite-longshot biasRisk arbitrage in the US presidential ...
Rachel E. S. Ziemba, William T. Ziemba
openaire  

Arbitrage Pricing with Estimation Risk

The Journal of Financial and Quantitative Analysis, 1993
This paper considers the Arbitrage Pricing Theory when investors have incomplete information on the parameters generating asset returns. Each asset in the economy may have a different amount of information available on it. Bayesian investors use their prior beliefs in conjunction with the total available information to assign an expected return and a ...
Puneet Handa, Scott C. Linn
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Risk Shifting and Regulatory Arbitrage: Evidence from Operational Risk

SSRN Electronic Journal, 2017
Regulations leading up to the financial crisis of 2007-2009 provided incentives for banks shift their risk profiles toward less regulated areas. We focus on the case of operational risk which went from being a relatively benign and largely unregulated risk type to a major risk that now accounts for about 25% of large banks' risk profile.
Brian Clark, Alireza Ebrahim
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Stablecoin devaluation risk

Social Science Research Network
Reliance of stablecoin issuers on centralized custodians introduces devaluation risk similar to that observed in traditional currencies under pegged exchange rate regimes.
B. Eichengreen, My T. Nguyen, Ganesh Viswanath-Natraj   +2 more
semanticscholar   +1 more source

Relationship between deep hedging and delta hedging: leveraging a statistical arbitrage strategy

Social Science Research Network
Recently, a new approach, deep hedging has been developed to identify optimal hedging strategies in incomplete markets, to minimize potential losses. However, the relationship between risk-neutral delta hedging and deep hedging is complicated.
Hiroaki Horikawa, Kei Nakagawa
semanticscholar   +1 more source