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Displaying results 1 to 25 of 336.

  1. An experimental investigation of the option pricing approach
    Published: 1996
    Publisher:  Sonderforschungsbereich 303, Bonn

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Sonderforschungsbereich 303, Information und die Koordination Wirtschaftlicher Aktivitäten, B, Rheinische Friedrich-Wilhelms-Universität Bonn ; No. 376
    Subjects: Optionspreistheorie; Experiment; Arbitrage; Eingeschränkte Rationalität; Spieltheorie; Theorie
    Other subjects: (stw)Optionspreistheorie; (stw)Experiment; (stw)Arbitrage; (stw)Begrenzte Rationalität; (stw)Spieltheorie; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 34 S., graph. Darst., 30 cm
  2. Tax arbitrage, separation and irrelevance
    a general model for tax effects in the securities market
    Published: 1998
    Publisher:  Univ., Fachbereich Wirtschafts- und Sozialwiss., Lüneburg

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    DDC Categories: 330; 380; 650; 670
    Edition: 2. Aufl., Stand: Dezember 1998
    Series: Arbeitsbericht / Universität Lüneburg, Fachbereich Wirtschafts- und Sozialwissenschaften ; Nr. 208
    Subjects: Kapitalmarkt; Kapitalstruktur; Portfolio Selection; Steuerwirkung; Arbitrage; Zonenrandförderung; Steuerwettbewerb; Pareto-Optimum; Theorie
    Other subjects: (stw)Finanzmarkt; (stw)Kapitalstruktur; (stw)Portfolio-Management; (stw)Steuerwirkung; (stw)Arbitrage; (stw)Steuerwettbewerb; (stw)Pareto-Optimum; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 54 S., 21 cm
    Notes:

    Literaturverz. S. 49 - 51

  3. Anomalies abroad
    beyond data mining
    Published: August 19, 2017
    Publisher:  Rodney L. White Center for Financial Research], [Philadelphia, PA

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers / Rodney L. White Center for Financial Research ; 04-17]
    Subjects: Börsenkurs; Arbitrage; Kapitaleinkommen; Data Mining; Swap; USA; Kanada; Frankreich; Deutschland; Japan; Großbritannien
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Sell low and buy high
    arbitrage and local price effects in Kenyan markets
    Published: April 2018
    Publisher:  National Bureau of Economic Research, Cambridge, MA

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1 (24476)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / National Bureau of Economic Research ; 24476
    Subjects: Getreidepreis; Saisonale Schwankungen; Arbitrage; Kleinbauern; Agrarkredit; Kreditrationierung; Mikrofinanzierung; Wohlfahrtsanalyse; Kenia; 2007-2015
    Scope: 53 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe

  5. Deep value
    Published: 05 February 2018
    Publisher:  Centre for Economic Policy Research, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 32 (12685)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12685
    Subjects: Wertpapier; Arbitrage; Anlageverhalten; Effizienzmarkthypothese
    Scope: 58 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe

  6. Arbitrage or narrow bracketing?
    on using money to measure intertemporal preferences
    Published: November 2018
    Publisher:  National Bureau of Economic Research, Cambridge, MA

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1 (25232)
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    Source: Union catalogues
    Language: English
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    Format: Print
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    Series: Working paper series / National Bureau of Economic Research ; 25232
    Subjects: Intertemporale Entscheidung; Diskontpolitik; Arbitrage
    Scope: 41 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe

  7. Essays on quantitative finance in the context of statistical arbitrage
    Published: 2018

    Staats- und Universitätsbibliothek Bremen
    03.a.3594
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    A 276104
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Finanzmathematik; Wertpapierhandel; Algorithmus; Arbitrage; Finanzmarktökonometrie; Multivariate Verteilung; Theorie; USA
    Scope: xi, 266 Seiten, Diagramme
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Friedrich-Alexander-Universität Erlangen-Nürnberg, 2018

  8. Absolving beta of volatility's effects
    Published: 2016
    Publisher:  Rodney L. White Center for Financial Research], [Philadelphia, PA

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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This Version: November 14, 2016
    Series: [Working papers / Rodney L. White Center for Financial Research ; 10-16]
    Subjects: Börsenkurs; Betafaktor; Volatilität; Arbitrage; Theorie
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  9. Trading volume, illiquidity and commonalities in FX markets
    Published: November 15, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 314 (2018,23)
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    In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors in a multi-currency environment. Through the use of a unique intraday data representative for the global FX market, the empirical analysis validates our theoretical predictions: (i) more disagreement increases FX trading volume, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do these findings support an integrated analysis of FX rate evolution and risk, but our work also offers a straightforward method to measure FX illiquidity and commonality. For investors, these insights should increase the efficiency of trading and risk analysis. For policy makers, our work highlights the developments of FX global volume, volatility, and illiquidity across time and currencies, which can be important for the implementation of monetary policy and financial stability

     

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    Volltext (kostenfrei)
    Volltext (kostenfrei)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers on finance ; no. 2018, 23
    University of St.Gallen, School of Finance Research Paper ; No. 2018/23
    Subjects: FX Trading Volume; Volatility; Illiquidity; Commonalities; Arbitrage
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  10. Show us your shorts!
    Published: 27 January 2018
    Publisher:  Centre for Economic Policy Research, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 32 (12658)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12658
    Subjects: Auskunftspflicht; Arbitrage; Leerverkauf; Informationseffizienz; USA
    Scope: 30 Seiten, circa 28 ungezählte Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe

  11. Statistical arbitrage with stochastic differential equations
    Published: 2018

    Staats- und Universitätsbibliothek Bremen
    03.a.7699
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    A 277403
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    RVK Categories: QH 237
    Subjects: Börsenkurs; Arbitrage; Differentialgleichung; Stochastischer Prozess; Wertpapierhandel; Strategie; Theorie; USA
    Scope: xi, 206 Seiten, Diagramme
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Friedrich-Alexander-Universität Erlangen-Nürnberg, 2018

  12. Steuerarbitrage durch Zuordnung der Erhaltungsverpflichtung bei gewerblichen Miet- und Pachtverträgen
    eine steuerplanerische, experimentelle und steuerrechtliche Analyse
    Published: 2018

    Staats- und Universitätsbibliothek Bremen
    03.a.3729
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    A 277402
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    Source: Union catalogues
    Language: German
    Media type: Dissertation
    Format: Print
    RVK Categories: QL 840
    Subjects: Steuerplanung; Arbitrage; Gebäudeinstandhaltung; Gewerbeimmobilien; Miete; Experiment; Steuerbilanz; Deutschland
    Scope: XVII, 248 Seiten, Diagramme
    Notes:

    Dissertation, Friedrich-Alexander-Universität Erlangen-Nürnberg, 2018

  13. Index-Arbitrage insbesondere mit DAX futures
    Published: 1993
    Publisher:  DVFA, Dreieich

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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    ISBN: 9783928759014; 3928759019
    RVK Categories: QK 650
    DDC Categories: 330; 380; 650; 670
    Edition: 2., korr. Aufl.
    Series: Beiträge zur Wertpapieranalyse ; Nr. 28
    Subjects: Arbitrage; Index-Futures; Capital-Asset-Pricing-Modell
    Other subjects: (stw)Arbitrage; (stw)Index-Futures; (stw)CAPM; (stw)Deutschland; Graue Literatur; Buch
    Scope: 100 S., graph. Darst., 30 cm
    Notes:

    Literaturverz. S. 96 - 100

  14. Seasonality in ex ante German stock index futures arbitrage
    where do arbitrage profits in Germany come from?
    Published: 1994
    Publisher:  Inst. für Statistik und Math. Wirtschaftstheorie, Augsburg

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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    RVK Categories: QH 000 ; QB 910
    DDC Categories: 330; 380; 650; 670
    Series: Arbeitspapiere zur mathematischen Wirtschaftsforschung ; H. 120
    Subjects: Index-Futures; Arbitrage; Kapitalertrag; Saisonschwankung
    Other subjects: (stw)Index-Futures; (stw)Arbitrage; (stw)Kapitaleinkommen; (stw)Deutschland; (stw)Saisonale Schwankungen; Arbeitspapier; Graue Literatur; Buch
    Scope: 41 S., graph. Darst., 30 cm
  15. Miles-Ezzell's WACC approach yields arbitrage
    Published: 2001
    Publisher:  Fachbereich Wirtschaftswiss., Univ., Hannover

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Diskussionspapiere / Fachbereich Wirtschaftswissenschaften, Universität Hannover ; 248
    Subjects: Unternehmensbewertung; Cashflow; Abzinsung; Kapitalkosten; Unternehmen; Steuerrecht; Arbitrage; Theorie
    Other subjects: (stw)Unternehmensbewertung; (stw)Cash Flow; (stw)Diskontierung; (stw)Kapitalkosten; (stw)Unternehmensbesteuerung; (stw)Arbitrage; (stw)Theorie; leverage effect; leverage effect; Arbeitspapier; Graue Literatur
    Scope: 12 Bl., 30 cm
  16. New methods for the arbitrage pricing theory and the present value model
    Published: c1994
    Publisher:  World Scientific, Singapore

    In the first essay, I develop an autoregressive method for testing the APT. Unlike methods currently being used in the literature, this method does not require prior estimation of factor loadings and risk premia. The new methodology is based on the... more

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    Kühne Logistics University – KLU, Bibliothek
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    In the first essay, I develop an autoregressive method for testing the APT. Unlike methods currently being used in the literature, this method does not require prior estimation of factor loadings and risk premia. The new methodology is based on the observation that past returns of an asset carry information about its exposure to systematic risks and thus can be used to construct ex post risk adjustments for the asset via a cross-sectional autoregressive model. I derive several testable implications of the APT and drop a crucial assumption that factor risk premia are constant. The approach is robust to changes in factor loadings in some cases. I find little evidence that firm size contribute additional explanatory power to that of factor loadings in the APT model The second essay studies the rational expectations present value model with variable expected returns. I develop an econometric method with which (i) to test a general model of expected returns and (ii) to test a linearalized version of the present value model. I find that share dividend-price ratios carry information about the structure of future dividend growth. I also find that the rejection of the present value model is dependent upon the variability of expected returns The third essay is an outcome of joint work with Whitney Newey. We show that the Newey-West adjustment matrix can be very useful for correcting heteroskedasticity and cross-sectional correlation in panel studies. We apply that adjustment procedure to the vector autoregression model of Holtz-Eakin, Newey and Rosen and develop a chi-square test to determine the number of pervasive economic factors in an approximate factor model. Our empirical results suggest there are at least seven factors in the economy that affect returns of securities listed on the New York Stock Exchange from 1987-1988

     

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789814354042; 981435404X
    Subjects: Speculation; Arbitrage; Arbitrage; Speculation; Arbitrage; Speculation; BUSINESS & ECONOMICS ; Investments & Securities ; General; Arbitrage ; Mathematical models; Speculation ; Mathematical models; Effectenhandel; Kapitalmarkttheorie; Aufsatzsammlung; Arbitrage-Pricing-Theorie
    Scope: Online Ressource (x, 111 p.)
    Notes:

    Includes bibliographical references. - Description based on print version record

  17. Arbitrage in an experimental securities market
    Author: Hedvall, Kaj
    Published: 1991

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    B 253625
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9515553377
    Series: Forskningsrapporter / Svenska Handelshögskolan ; 25
    Subjects: Arbitrage; Wertpapier; Theorie
    Scope: 134 S, graph. Darst
  18. Arbitrage pricing theory in a small open economy
    empirical evidence from the Swedish stock market
    Published: 1992

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    B 264947
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9515553695
    Series: Forskningsrapporter / Svenska Handelshögskolan ; 26
    Subjects: CAPM; Arbitrage; Offene Volkswirtschaft; Theorie; Schweden
    Scope: Getr. Zählung, graph. Darst
  19. Trading in fragmented markets
    Published: 2019
    Publisher:  SIEPR, Stanford Institute for Economic Policy Research, Stanford, CA

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / SIEPR, Stanford Institute for Economic Policy Research ; no. 19, 034 (November, 2019)
    Subjects: Marktmikrostruktur; Aktienmarkt; Wertpapierhandel; Arbitrage; Unvollkommener Wettbewerb; Australien
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
    Notes:

    Journal of Financial and Quantitative Analysis, forthcoming

  20. Turning alphas into betas
    arbitrage and the cross-section of risk
    Author: Cho, Thummim
    Published: November 2018
    Publisher:  [LSE Financial Markets Group], [London]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper series / [LSE Financial Markets Group] ; no 780
    Paul Woolley Centre working paper ; no 61
    Subjects: Kapitalmarkttheorie; Betafaktor; Arbitrage
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  21. Equilibrium and welfare in markets with financially constrained arbitrageurs
    Published: 23 Oct. 2001
    Publisher:  Inst. of Finance and Accounting, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1457 (342)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: IFA working paper ; 342
    Subjects: Arbitrage; Marktsegmentierung; Theorie
    Scope: Online-Ressource, 50 p., text
  22. How prevalent is tax arbitrage?
    Evidence from the market for municipal bonds
    Published: 2002
    Publisher:  NBER, Cambridge, Mass.

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1 (9105)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 9105
    Subjects: Kommunalobligation; Arbitrage; Steuervermeidung; USA
    Scope: 17, [3] S
    Notes:

    Internetausg.: papers.nber.org/papers/w9105.pdf - lizenzpflichtig

    Literaturverz. S. 16 - 17

  23. Options on dividend paying stocks
    Published: 2001
    Publisher:  ECFR, Rotterdam

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 662 (2001.7)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Report / Erasmus Center for Financial Research, Erasmus University ; 2001,7
    Subjects: Aktienoption; Arbitrage; Optionspreistheorie; Theorie
    Scope: 14 S, graph. Darst
  24. Trading spreads and seasonals
    Author: Ross, Joe
    Published: c1997
    Publisher:  Ross Trading, Inc., Cedar Park, Tex.

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    D 18876
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9768108266
    Subjects: Finanzanalyse; Risikoprämie; Börsenkurs; Arbitrage; Saisonale Schwankungen; Derivat; Theorie; USA
    Scope: 334 S, zahlr. graph. Darst
  25. Strategic financial innovation in segmented markets
    Published: 2004
    Publisher:  Centre for Economic Policy Research, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 32 (4176)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 4176
    Subjects: Finanzprodukt; Investmentfonds; Arbitrage; Spieltheorie; Theorie
    Scope: 41 S