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Limits of arbitrage

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

... the limits of arbitrage literature is that negative shocks to the capital of hedge funds cause them to liquidate assets, which results in higher expected returns on these ...

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Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

... of Arbitrage” theories require that the marginal investor in a particular asset market be a specialized ...that limits of arbitrage theories can help explain the behavior of spreads in this ...

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Levered Noise and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia

Levered Noise and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia

... Negligible pricing frictions in underlying asset markets can become greatly magnified when using no-arbitrage arguments to price derivative claims. Amplification occurs when a repli- cating portfolio contains ...

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Information Exchange and the Limits of Arbitrage

Information Exchange and the Limits of Arbitrage

... Other implications from proposition 4 and 5 are that asset markets with loss averse investors, such as long/short strategies, emerging hedge funds, or smaller hedge funds (Baquero and Verbeek (2007)), should see more ...

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LimitsOfArbitrage_LATEST.pdf

LimitsOfArbitrage_LATEST.pdf

... of arbitrage arise in the model for two ...well-known limits because imperfectly competing traders have private information about the security’s value and internalize the effects of their trading position ...

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ETFs, Arbitrage, and Contagion

ETFs, Arbitrage, and Contagion

... the limits of arbitrage, a number of recent studies argue that institutional trading can significantly affect the first and second moments of asset ...

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A Second Look at Post Crisis Pricing of Derivatives   Part I: A Note on Money Accounts and Collateral

A Second Look at Post Crisis Pricing of Derivatives Part I: A Note on Money Accounts and Collateral

... Following the approach in [Piterbarg 2010] and [Burgard and Kjaer 2013] market participants have generated adjustments to derivatives pricing formulas to reflect funding and hedging costs, collec- tively referred to as ...

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Arbitrage in General Equilibrium

Arbitrage in General Equilibrium

... trade. Arbitrage trade in goods assumes two markets that artificially exist and converge via ...via arbitrage creates one sector out of two, and in general equilibrium, equalizes opportunity cost of re- ...

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The limits of employability

The limits of employability

... The patterns of moving in and out of employment described by the participants interviewed emphasise the fact that in the post- industrial labour market of Teesside there is neither the [r] ...

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What Is Statistical Arbitrage?

What Is Statistical Arbitrage?

... In the literature, there are two definitions of Statistical Arbitrage (SA) which differ significantly from each other. Bondarenko’s SA [10] is a trading strategy which can have negative payoffs, as long as the ...

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ETFs, Arbitrage, and Contagion

ETFs, Arbitrage, and Contagion

... Authorized Participants: - Buy underlying securities - Create ETF shares in kind - Sell ETF shares in the market4. Authorized Participants: - Buy ETF in the market.[r] ...

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Is The Event Risk In Merger Arbitrage Priced?

Is The Event Risk In Merger Arbitrage Priced?

... Prediction of tender offer success has not been researched as extensively as merger arbitrage. In a qualitative study, Pickering (1983) identify four main causes of abandoned mergers; change of mind of either the ...

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Arbitrage in Housing Markets

Arbitrage in Housing Markets

... to arbitrage by delaying the transition from rental to owning status in a declining market is limited by risk aversion and the high volatility of housing ...

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Do short sellers arbrtrage accrual based return anomalies?

Do short sellers arbrtrage accrual based return anomalies?

... Past and present accounting adjustments to earnings, as reflected in a firm’s operating accruals and its level of net operating assets (NOA), are strong and robust negative predictors of future abnormal stock returns. 1 ...

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Chapter 10

Chapter 10

...  The fact that any two currencies must have equal prices in two different locations implies the same for a triangular Arbitrage and Spot Exchange Rates.. Arbitrage and Spot Exchange R[r] ...

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NCC en arbitrage [Redactioneel]

NCC en arbitrage [Redactioneel]

... Wie in een andere taal dan de Engelse in Nederland wil pro- cederen, zal ook voor arbitrage dienen te kiezen. Met name Duits en Frans worden soms nog wel als procestaal in de ar- bitrage gebruikt. Daarvoor biedt ...

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A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints

A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints

... This paper presents a unified framework for examining the general equilib- rium effects of transactions costs and trading constraints on security market trades and prices. The model uses a discrete time/state framework ...

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Fact and Fictions in Fx Arbitrage Processes

Fact and Fictions in Fx Arbitrage Processes

... Section 2 considers the account given of FX markets by the efficient markets hypothesis (EHM) that came to be the conventional academic wisdom as to how financial markets work. The EMH postu- lates that prices, such as ...

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A Cross Border One Stop Shop for Alternative Investments Managers

A Cross Border One Stop Shop for Alternative Investments Managers

... During the past 10 years Simon has served in a non‐ executive capacity on the boards of various Cayman domiciled Hedge Funds, engaged in strategies such as Convertible Bond Arbitrage, High Yield Bond, Credit ...

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The effect of arbitrage activity in beta and momentum strategies on abnormal trading profits

The effect of arbitrage activity in beta and momentum strategies on abnormal trading profits

... of arbitrage activity in beta and momentum strategies on abnormal trading profits generated in the same ...measure arbitrage activity due to unavailability of information necessary for its ...of ...

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