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pro vyhledávání: '"Fixed income arbitrage"'
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Autor:
Liam A. Gallagher, Mark C. Hutchinson
Publikováno v:
SSRN Electronic Journal.
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2e70918e6e4bec59d54fc0340fc55ecb
https://doi.org/10.2139/ssrn.4357969
https://doi.org/10.2139/ssrn.4357969
Publikováno v:
Journal of Financial Research. 42:525-552
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo-trading strategy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9cdd219baa909c5479d7e0eeab740849
https://doi.org/10.1111/jfir.12187
https://doi.org/10.1111/jfir.12187
Autor:
Jonathan Hartley, Urban J. Jermann
Since January 2014 the U.S. Treasury has been issuing floating rate notes (FRNs). We estimate that the U.S. FRNs have been paying excess interest between 5 and 39 basis points above the implied cost for other Treasury securities. We find a strong pos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::462109fdb5e01c6431ae8e5b5d666c77
https://doi.org/10.3386/w27065
https://doi.org/10.3386/w27065
We examine the effects of US monetary policy announcements during and after the Great Financial Crisis on the average abnormal returns (the “alpha”) of the hedge fund industry as a whole and of a range of hedge strategy indices. We apply a variet
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ff16ffbde02426a016a95c101ad612f8
http://hdl.handle.net/11565/4033915
http://hdl.handle.net/11565/4033915
Autor:
Massimo Guidolin, Alexei G. Orlov
Publikováno v:
SSRN Electronic Journal.
We test whether the unconventional monetary policy (UMP) announcements by the Federal Reserve and the European Central Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular. Using modif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9f92a882527e2dda953e06ced1c3833
https://doi.org/10.2139/ssrn.3650981
https://doi.org/10.2139/ssrn.3650981
Publikováno v:
The Review of Financial Studies. 32:1608-1646
We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross-section. Across ten well-known stock anomalies, abnormal re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5e40fd55f575672c0d760377d05ac51b
https://doi.org/10.1093/rfs/hhy097
https://doi.org/10.1093/rfs/hhy097
Publikováno v:
Journal of Interdisciplinary Mathematics. 20:1377-1382
The yield curve of the Treasury bonds has important economic implications. Its shape can reflect the expectation of the economy, and the corresponding trading strategy can be formulated by ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1513c736c5156790c75c43206413cabe
https://doi.org/10.1080/09720502.2017.1382140
https://doi.org/10.1080/09720502.2017.1382140
Publikováno v:
Pacific-Basin Finance Journal. 45:91-102
Classical economic theory suggests that excess returns should be competed away as new participants enter the market. This is especially true for the profits from riskless arbitrage. Yet, there is conflicting evidence in the financial economic literat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fa6c7460b3675795b555d73b57669ecf
https://doi.org/10.1016/j.pacfin.2016.08.004
https://doi.org/10.1016/j.pacfin.2016.08.004
Publikováno v:
Finance Research Letters. 21:85-91
This study analyzes cross-listed Taiwanese firms from 1997 to 2015 to identify the rule of one price, market integration, and arbitrage opportunities. Results show cross-listing locations significant positively and negatively influence home and forei
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2d0a7b9db914810fa20fcbab770a4619
https://doi.org/10.1016/j.frl.2017.02.010
https://doi.org/10.1016/j.frl.2017.02.010