Results 71 to 80 of about 52,168 (223)
Do tax havens affect the usage of share buybacks schemes?
Annals of Public and Cooperative Economics, EarlyView.Abstract This study examines whether the use of tax haven subsidiaries by U.S. multinational corporations (MNCs) is associated with more intense usage of share buybacks. I find that MNCs' more intensive tax haven subsidiary usage is positively associated with a higher buyback ratio, a higher level of free cash flow and a higher level of return on ...
Alessandro Chiari
wiley +1 more source
A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds [PDF]
We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a long-run equilibrium relationship between stock prices and an index price.
Anca Dimitriu, Carol Alexander
core
Statistical Arbitrage: A Critical View
Argumenta Oeconomica Cracoviensia, 2016 Statistical arbitrage dynamics is driven by a stationary, autoregressive process known as mispricing. This process approximates the value in time of a portfolio weighted equally to the elem ents of a cointegration vector of the log-prices processes of related instruments.
openaire +2 more sources
Business Ethics, the Environment &Responsibility, EarlyView.ABSTRACT This study investigates the impact of environmental attention on cryptocurrency market volatility by introducing the Crypto Environmental Attention Index (CEAI), a new metric inspired by Wang et al. (2022) and constructed using daily web search data.
Ines Ghazouani +2 more
wiley +1 more source
Dry Markets and Statistical Arbitrage Bounds for European Derivatives [PDF]
We derive statistical arbitrage bounds for the buying and selling price of European derivatives under incomplete markets. In this paper, incompleteness is generated due to the fact that the market is dry, i.e., the underlying asset cannot be transacted ...
Lacerda, Ana, Matos, Joao Amaro de
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Creativity and Innovation Management, EarlyView.ABSTRACT This paper explores the limits of mission‐directed entrepreneurial states by drawing on the theory of recombinant innovation and F.A. Hayek's insights on the spontaneous growth of knowledge in society. First, the use of discretionary policymaking curtails the range of knowledge generated in the process of social interaction, limiting the scope
Bryan Cheang, Praharsh Mehrotra
wiley +1 more source
, 1998 Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical content to the ...
Didier Sornette, Dunbar N., Hull J.
core +2 more sources
Spanish stock returns, growth, and inflation, 1900–2020
The Economic History Review, EarlyView.Abstract This paper studies equity returns in the Madrid Stock Exchange and their connections with the macroeconomy from the emergence of a stock market around 1900 to its ‘big bang’ at the turn of the twenty‐first century. Using high‐quality data from primary sources and the methodology of the modern IBEX35 (published since 1987), we constructed an ...
Stefano Battilossi +2 more
wiley +1 more source
Bank Competition and International Financial Integration: Evidence Using a New Index [PDF]
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations ...
Gurnain Kaur Pasricha
core
The Economic History Review, EarlyView.Abstract We develop new datasets of monthly grain prices in 14 urban markets and of the storage and marketing of grain by 5 rural estates located in western Germany between the late seventeenth century and c. 1860. We explore whether observed patterns of monthly prices, sales, and storage of grain are consistent with the rational competitive storage ...
Matthias Hartermann +2 more
wiley +1 more source