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Stock-ADR Arbitrage: Microstructure Risk [PDF]
Journal of International Financial Markets, Institutions and Money, 2019 This paper is the first to highlight that the stock-ADR arbitrage pair trading found by Alsayed and McGroarty (2012) is directly influenced by the market microstructure of ADRs. In Alsayed and McGroarty (2012) they are the first to demonstrate that arbitrage opportunities exist between stocks and their ADRs, through convergence pairs trading.
Mitra, Sovan +3 more
openaire +5 more sources
IMPLIED-IN-PRICES EXPECTATIONS: THEIR ROLE IN ARBITRAGE
Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e Naturali, 2014 Real prices are created on markets by supply and demand and they do not have to follow some distributions or have some properties, which we often assume. However, prices have to follow some rules in order to make arbitrage impossible.
Sergei A. Ivanov
doaj +1 more source
Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations
Journal of Financial and Quantitative Analysis, 2017 This study investigates the implications of cross-country differences in banking regulation and supervision for the international subsidiary locations and risk of U.S. bank holding companies (BHCs).
W. Frame, Atanas Mihov, Leandro Sanz
semanticscholar +1 more source
Performance of Arbitrage Mutual Funds: Risk, Fund Size and Market Sentiments – Evidence from India
American Business ReviewWe examine the theory of decreasing returns to scale by assessing the impact of fund size on the performance of arbitrage mutual funds in India. Fund manager of arbitrage funds with large fund size tend to hold cash equivalents due to inadequate ...
DMV Lakshmi Velagala +2 more
doaj +1 more source
Coherent-Price Systems and Uncertainty-Neutral Valuation
Risks, 2019 This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
doaj +1 more source
The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market
Ekonometria, 2021 The main aim of the paper was to prove that the complete Black-Scholes-Merton regime- -switching Lévy market is characterized by an absence of arbitrage.
Anna Sulima
doaj
Convertible Bond Arbitrage: Risk and Return
Journal of Business Finance & Accounting, 2010 Abstract: This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined.
Hutchinson, Mark C., Gallagher, Liam A.
openaire +2 more sources
The Bitter Taste of Brazil's Temporary Import Ban on Robusta Coffee
Agribusiness, EarlyView.ABSTRACT Brazil, a leading Robusta coffee producer and exporter, faced a significant drought in 2016–2017, which drastically reduced production and depleted stocks. Consequently, Brazil temporarily permitted the import of one million 60‐kg bags of Robusta coffee in the spring 2017. An import ban was imposed shortly afterward due to lobbying by domestic
Hanifi Otgun +2 more
wiley +1 more source
Pairs trading of nearly identical twin stocks: The case of GOOGL versus GOOG
South African Journal of Business ManagementPurpose: As computer technology and statistical methods advance, statistical arbitrage research focuses on developing more sophisticated trading methods.
Che-Ming Yang, An-Sing Chen
doaj +1 more source
A note on the Fundamental Theorem of Asset Pricing under model uncertainty [PDF]
, 2014 We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with bid-ask spreads ...
Bayraktar, Erhan +2 more
core +4 more sources