... reversal and increase in the equilibrium real rate. affine arbitrage-free dynamic term structure models liquidity risk financial market frictions r-star C32 E43 E52 G12 G17 The secular decline in global long-term nominal interest rates in the decades before the coronavirus disease 2019 (COVID-19...

..., is not explained by standard gravity factors; (2) abnormal activity is concentrated in only a few tax havens (Luxembourg, Hong Kong, and Singapore); and (3) abnormal activity has been stable since the introduction of CbCR. tax haven country-by-country reporting tax arbitrage regulatory arbitrage international...

... of this article is that settlement latency exposes cross-exchange arbitrageurs to substantial costs. Settlement latency is the waiting time until blockchain validation of a transaction. Settlement latency makes arbitrage trades costly since it exposes arbitrageurs to substantial price risk: Due...

...-dimensional integral, which can be approximated numerically before maximization. However, the estimated migration risk and required capital tend to be sensitive to the quality of this approximation, potentially leading to statistical regulatory arbitrage. The proposed conditional MCL estimator circumvents...

... législateur devrait renouveler les sources des obligations en lien avec l’éthique et renforcer le régime des sanctions en cas d’inobservation. arbitrage éthique responsabilité indépendance-impartialité récusation « En s’universalisant, à l’ensemble de la planète, l’arbitrage s’est banalisé, affadi...

... Mortgages Regulatory arbitrage D14 G23 G28 G51 R30 In response to the increase in household debt, debt-to-GDP ratios, and real estate prices during the last decade, regulators have implemented a series of macro-prudential policy instruments to suppress such developments ( Jorda, Schularick, and Taylor...

... believe the correction will occur. short sale equity lending limits to arbitrage information in option prices behavioral asset pricing Abstract Short sellers care about (i) how overvalued an asset is and (ii) when the overvaluation will be corrected. Hence, short selling costs should be higher over...

... degree of pricing errors allowed under Ross’s arbitrage pricing theory condition. Monte Carlo evidence shows that the proposed test performs remarkably well even when T = 60 and N = 5000. The test is applied to monthly returns on securities in the S&P 500...

... nécessaire à la résolution du différend et d’autre part par la lutte contre le temps perdu. La présente réflexion dresse ainsi le bilan de la mise en œuvre de l’objectif de célérité dans l’arbitrage OHADA et suggère d’éventuelles réformes. temps délai raisonnable arbitrage CCJA convention d’arbitrage De...

...Oliver Boguth; Murray Carlson; Adlai Fisher; Mikhail Simutin E-mail: [email protected] Our article also connects to the literature on arbitrage-free markets. ⁹   Harrison and Kreps (1979) provide the seminal result that an arbitrage-free market must have an equivalent martingale...

...Eric Renault; Thijs Van Der Heijden; Bas J M Werker Abstract We develop an arbitrage pricing theory framework extension to study the pricing of squared returns/volatilities. We analyze the interplay between factors at the return level and those in idiosyncratic variances. We confirm the presence...

... have private information, inefficient equilibria can arise, where substantial mispricing persists or investors’ attention is overloaded. G11 G14 G2 D84 Limits to arbitrage Advertising Price discovery Limited attention Einaudi Institute for Economics and Finance 10.13039/501100004808 New...

... governments, we present evidence that indirect currency carry trade likely takes place via round-trip reimports. We also show that greater state control in terms of more state-owned firms does not reduce such “carry trade by trucks.” Capital controls currency arbitrage state control G15 F3 National Science...

... eurozone stock markets. Our empirical results reveal unique characteristics of each of 11 eurozone stock markets and their inner connections. conditional quasi-maximum-likelihood estimator Fama–French models heterogeneous spatial arbitrage pricing model heterogeneous spatial interaction C31 C33 C58...

... tightening policy. In contrast to conventional view of regulatory arbitrage, our evidence shows that, rather than hiding risk and gambling for profit, banks-affiliated leasing firms have prudent risk control and efficient pricing. These bank-affiliated institutions are used by banks to play strategic role...

... Dynamic no-arbitrage models JEL codes: G12, G23, C33 Previous studies have documented various price anomalies in very large and liquid US fixed-income markets. For example, assets with almost identical payoffs can carry significantly different prices: just-issued (on-the-run) Treasury securities trade...

... version of this paper was circulated under the title, “Slow-moving Real Information in Merger Arbitrage.” Email: [email protected] 19 11 2019 19 11 2020 © The Author(s) 2020. Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For permissions, please...

... the terms of the Oxford University Press, Standard Journals Publication Model ( https://dbpia.nl.go.kr/journals/pages/open_access/funder_policies/chorus/standard_publication_model ) G20 G23 Liquidity provision Limits of arbitrage Hedge funds Mutual funds Resilience In the theoretical literature...

... This article extends the growing conversation on the rhetoric of economics through a critical analysis of the rhetoric of the “sharing economy” firm Uber. After reconfiguring the economic concept of arbitrage from a rhetorical perspective, I demonstrate the means by which “ride sharing” services exploit...

.../funder_policies/chorus/standard_publication_model ) G11 G12 G13 G14 Credit default swaps Mispricing Statistical arbitrage Affine models Market-neutral strategy Hedge funds Abstract Based on a reduced-form model of credit risk, we explore mispricing in the credit default swaps (CDS) spreads of North...