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Advanced Search Results For "ARBITRAGE"

1 - 10 of 10,955 results for
 "ARBITRAGE"
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Comomentum: Inferring Arbitrage Activity from Return Correlations.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Jul2022, Vol. 35 Issue 7, p3272-3302. 31p.

Abstract:We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect on the stock market. We focus on stock price momentum, a classic example of a positive-feedback strategy that our theory predicts can be de...

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Identifying the Effect of Stock Indexing: Impetus or Impediment to Arbitrage and Price Discovery?

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis; Aug2022, Vol. 57 Issue 5, p2022-2062, 41p

Abstract:Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Ho...

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Have existing theories explained the accrual anomaly? An evaluation based on the decomposition method.

Publication Type:Academic Journal

Source(s):Accounting & Finance. Sep2022, Vol. 62 Issue 3, p3645-3675. 31p. 7 Charts, 1 Graph.

Abstract:Using the decomposition method proposed by Hou and Loh (2016), we evaluate whether the existing theories have explained the negative correlation between accruals and the cross‐section returns (the accrual anomaly). The results show that cash‐based oper...

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For Whom the Levy Tolls: The Case of a Macroprudential Stability Levy in South Korea.

Publication Type:Academic Journal

Source(s):IMF Economic Review. Sep2022, Vol. 70 Issue 3, p520-559. 40p.

Abstract:Can capital flow management measures (CFMs) reduce external vulnerability of the economy? This paper studies the effectiveness of a macroprudential stability levy introduced in Korea, which was intended to curb foreign currency (FX) debt as well as to ...

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Riding the Nordic German Power-Spread: The Einar Aas Experiment.

Publication Type:Academic Journal

Source(s):Energy Journal. Sep2022, Vol. 43 Issue 5, p51-69. 19p.

Abstract:Inspired by the initial success and eventual failure of Einar Aas' trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage ...

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Financially constrained index futures arbitrage.

Publication Type:Academic Journal

Source(s):Journal of Futures Markets. Sep2022, Vol. 42 Issue 9, p1688-1703. 16p.

Abstract:We develop two models for index futures arbitrage that take the financing constraints faced by real‐world arbitrageurs into account. Our models predict that the price of an index futures contract and the value of its underlying index should deviate fur...

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Asymmetric effect of FEARS Sentiment on Stock Returns: Short-sale constraints, limits to arbitrage, and behavioural biases.

Publication Type:Academic Journal

Source(s):Emerging Markets Finance & Trade. 2022, Vol. 58 Issue 11, p3119-3135. 17p. 6 Charts, 1 Graph.

Abstract:This paper examines the implications of short-sale constraints, limits to arbitrage, and behavioral biases on the FEARS sentiment and stock returns asymmetric relationship. Our results indicate a strong negative relationship between FEARS sentiment and...

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Forecasting with fractional Brownian motion: a financial perspective.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Aug2022, Vol. 22 Issue 8, p1495-1512. 18p.

Abstract:The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the non-Markovian nat...

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A victim of regulatory arbitrage? Automatic exchange of information and the use of golden visas and corporate shells.

Publication Type:Academic Journal

Source(s):Regulation & Governance. Jul2022, Vol. 16 Issue 3, p653-672. 20p.

Abstract:The multilateral adoption of the automatic exchange of information (AEI) on bank accounts held by nonresidents was a breakthrough in the fight against cross‐border tax evasion, which led to a substantial reduction in the value of bank deposits and inve...

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Arbitrage and Stock Mispricing: Empirical Evidence from GCC Markets.

Publication Type:Academic Journal

Source(s):Journal of Islamic Financial Studies. Dec2021, Vol. 7 Issue 2, p112-170. 59p.

Abstract:Cross listing has become a worldwide phenomenon and is considered a great way for listed companies to raise extra capital and gain access to new markets and segments. However, the impact of cross listing is very vague and data and research regarding th...

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