Listing of Preemptive Right Certificates and Arbitrage Opportunities
نویسندگان
چکیده
منابع مشابه
Arbitrage and investment opportunities
We consider a model in which any investment opportunity is described in terms of cash flows. We don’t assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we sh...
متن کاملIdentifying Arbitrage Opportunities in E-markets
A market is in equilibrium if there is no opportunity for arbitrage, ie: risk-free, or low-risk, profit. The majority of real markets are not in equilibrium. A project is investigating the market evolutionary process in a particular electronic market that has been constructed in an on-going collaborative research project between a university and a software house. The way in which actors (buyers...
متن کاملArbitrage Opportunities: a Blessing or a Curse?
This paper shows that arbitrage is limited if rational agents face uncertainty about completing their arbitrage portfolios. This “execution risk” arises in our model because there are slippages in asset prices as arbitrageurs compete for the limited supply of assets needed for a profitable arbitrage portfolio. This is distinct from the existing limits of arbitrage such as noise trader risk, fun...
متن کاملPredictors of triangular arbitrage opportunities: Interdependence and order book indicators
Recent research suggests that high-frequency triangular arbitrage opportunities arise in electronic foreign exchange (FX) markets. The deviations from the triangular parity condition are typically the result of asynchronous exchange rate adjustments to new market-wide information or country-specific shocks. This paper conducts an empirical investigation of the mechanisms and underpinnings of tr...
متن کاملLosing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
We derive the optimal investment policy of a risk-averse investor in a market where there is a textbook arbitrage opportunity, but where liabilities must be secured by collateral. We find that it is often optimal to underinvest in the arbitrage by taking a smaller position than collateral constraints allow. Even when the optimal policy is followed, the arbitrage portfolio typically experiences ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Korean Journal of Financial Studies
سال: 2019
ISSN: 2005-8187
DOI: 10.26845/kjfs.2019.06.48.3.343