Zobrazeno 1 - 10
of 980
pro vyhledávání: '"Risk arbitrage"'
Autor:
Mitchell, Mark, Pulvino, Todd
Publikováno v:
The Journal of Finance, 2001 Dec 01. 56(6), 2135-2175.
Externí odkaz:
https://www.jstor.org/stable/2697819
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
In the following, we recall the notions of arbitrage, completeness and option pricing in quite general one-period (or multi-period) market models, but always based on a finite sample space.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e64eae43d9085411322f1d72c641d8b7
https://doi.org/10.1007/978-3-031-28378-9_4
https://doi.org/10.1007/978-3-031-28378-9_4
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
Autor:
WANG, JIA, BRANCH, BEN
Publikováno v:
Quarterly Journal of Finance and Accounting, 2014 Jan 01. 51(1/2), 99-130.
Externí odkaz:
https://www.jstor.org/stable/24634497
Autor:
Gordon Schulze
Publikováno v:
Atlantic Economic Journal. 49:23-40
The returns to carry trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the countries’ interest rate differential plays a leading part in the carry-trade performan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0697177873c15a8d28289f704e9e77a6
https://doi.org/10.1007/s11293-021-09698-2
https://doi.org/10.1007/s11293-021-09698-2
Publikováno v:
Operations Research. 69:100-113
Research about equity index options has shown that option prices systematically violate rational pricing bounds for the risk-averse representative investor. These results raise the question of whether profitable trading possibilities exist in this ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c113471895df2d91fc7d458aedd6a24e
https://doi.org/10.1287/opre.2020.2012
https://doi.org/10.1287/opre.2020.2012
Publikováno v:
International Journal of Managerial Finance. 17:185-213
PurposeThis paper explores the effects of US President Donald Trump's Twitter messages (tweets) on the stock prices of media and non-media companies.Design/methodology/approachThe authors’ empirical analysis considers all Twitter messages posted by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::abb20506ae1adc3bf1132f530f8d58d3
https://doi.org/10.1108/ijmf-02-2020-0068
https://doi.org/10.1108/ijmf-02-2020-0068
Publikováno v:
Review of Finance. 25(4):997-1046
Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger comple
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65d25705d7151f7ae4250bfcff050921
https://research.wu.ac.at/de/publications/40369f4c-f1dc-4d01-a5dd-378b481f6a6f
https://research.wu.ac.at/de/publications/40369f4c-f1dc-4d01-a5dd-378b481f6a6f
Autor:
Branch, Ben, Yang, Taewon
Publikováno v:
Quarterly Journal of Business and Economics, 2006 Jan 01. 45(1/2), 53-68.
Externí odkaz:
https://www.jstor.org/stable/40473414
Autor:
Branch, Ben, Yang, Taewon
Publikováno v:
Quarterly Journal of Business and Economics, 2003 Jan 01. 42(1/2), 3-18.
Externí odkaz:
https://www.jstor.org/stable/40473361