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Andreas Langenohl
Pág. Finance an - 40
This article argues that the temporality of the financial economy ought to be seen as radically synchronistic. ?Synchronism? refers to both an epistemological and practical approach that addresses finance neither with a view to the past nor to the future...
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Jimmy Melo
Pág. 165 - 187
In scenarios of increasing pessimism, arbitrageurs affect processes by inducing a recuperation in demand for a risky asset (demand effect) or as a result of their capacity to transfer resources to scenarios of scarce liquidity (the liquidity effect). If ...
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Pág. 29 - 45
Ali et al. (2003) argue that the Book-to-Market (B/M) anomaly is explained by mispricing. Using firm-level data from 1976 through 1997, we replicate their results and then test the idea that the anomaly is also explained as reflecting compensation ...
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Yetti Afrida Indra
Pág. 233 - 240
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting sto...
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Mohammad R. Safarzadeh,Fatemeh Ibrahimi Nazarian,Ana Kristel C. Molina
Pág. 544 - 558
Analyzing the risk and return for the S&P Currency Index Arbitrage and the Merk Absolute Return Currency Fund, this study intends to find whether currency asset classes are worthwhile investments. To determine where the efficient currency portfolios lie ...
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C. de J. Correia,R. F. Knight
AbstractThe Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interes...
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C. de J. Correia,R. F. Knight
AbstractThe Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interes...
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Nicola Metzger and Vijay Shenai
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance ...
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Marcelo Ganem,Tara Keshar Nanda Baidya
Pág. 277 - 301
The risk premium in the Brazilian term structure of interest rates is partially driven by some specific defensive behavior following past monetary decisions. Until 2008, the Brazilian Central Bank has primarily dealt with domestic and external crises by ...
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Paul Van Rensburg
AbstractEmploying prespecified macroeconomic variables as potential priced factors, the Arbitrage Pricing Theory (APT) may be modelled as a non-linear seemingly unrelated regression with across equation restrictions. This portrayal allows for the simulta...
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Akyene Tetteh,Jeron K. Arthur
AbstractOrientation: Literature is scanty on the euphoria around Ghana?s electioneering activities and their impact on economic activities.Research purpose: This paper studies electioneering activities and their impact on the Ghana Stock Exchange (GSE) r...
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Andi Desfiandi,Alvin Desfiandi,Hapzi Ali
Pág. 534 - 536
Investors often find it difficult to valuate and purchase stocks with good performance that provide optimum yields. Inadequate information regarding how to make good investments is one of the main reasons why people lose interest to invest in capital mar...
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Alex Garivaltis
In this paper, which is the third installment of the author?s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to ...
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Sebastián A. Rey
One of the main characteristics of the (recently proposed) non-arbitrage valuation of equities framework is the reduction in pricing subjectivity. This is evidenced in terms of the dividends discount rate and the outlook of future performance (dividends ...
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Nelson Christopher Dzupire, Philip Ngare and Leo Odongo
This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indiffere...
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Necla Ilter Kucukcolak
Pág. 66 - 78
Major benefits of the organized commodity markets will be efficient price formation, transparency improvement, decline in transaction cost and accumulation of expertise in the financial and agricultural sectors. An active spot market is one of the major ...
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Fabio Pizzutilo
Pág. 763 - 771
We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding th...
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Andrei Salem Gonçalves,Robert Aldo Iquiapaza,Aureliano Angel Bressan
Pág. 317 - 335
We propose a single-factor mixed effects panel data model to create an arbitrage portfolio that identifies differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables,...
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Pedro M. Nogueira Reis, Marion Gomes Augusto
Company valuation models attempt to estimate the value of a company in two stages: (1) comprising of a period of explicit analysis and (2) based on unlimited production period of cash flows obtained through a mathematical approach of perpetuity, which is...
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