Search Results - subject:"Mispricing"

Futures mispricing, order imbalance, and short-selling constraints

Lin, Emily; Lee, Cheng F.; Wang, Kehluh - In: International review of economics & finance : IREF 25 (2013), pp. 408-423

Persistent link: https://www.econbiz.de/10009693284

What drives the value premium? : risk versus mispricing ; evidence from international markets

Chaves, Denis B.; Hsu, Jason C.; Kalesnik, Vitali; … - In: Journal of investment management : JOIM 11 (2013) 4, pp. 22-39

Persistent link: https://www.econbiz.de/10010357098

Asset-pricing models and economic risk premia: A decomposition

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

the candidate pricing kernel of a given model and the factors; and (iii) (minus) the mispricing assigned by the candidate …

Persistent link: https://www.econbiz.de/10010397680

Non-hierarchical signalling: two-stage financing game

Miglo, Anton; Zenkevich, Nikolay - Volkswirtschaftliche Fakultät, … - 2005

The literature analyzing games where some players have private information about their "types" is usually based on the duality of "good" and "bad" types (GB approach), where "good" type denotes the type with better quality. In contrast, this paper analyzes a signalling game without types...

Persistent link: https://www.econbiz.de/10005836424

Asset-pricing models and economic risk premia : a decomposition

Balduzzi, Pierluigi (contributor); … - 2005

the candidate pricing kernel of a given model and the factors; and (iii) (minus) the mispricing assigned by the candidate … the factors; and (iii) (minus) the mispricing assigned by the candidate pricing kernel to the maximum- correlation …, mispricing, maximum-correlation mimicking portfolios, nontraded factors Introduction The estimatesof risk premiaassociated …

Persistent link: https://www.econbiz.de/10003115603

Issuing and repurchasing: The influence of mispricing, corporate life cycle and financing waves

Seifert, Bruce; Gonenc, Halit - In: Journal of Multinational Financial Management 22 (2012) 3, pp. 66-81

This paper examines the impact of mispricing, corporate life cycle, and financing waves on the debt/equity decision … period 1984–2006. Our results support the mispricing hypothesis and the corporate life cycle hypothesis for both the …

Persistent link: https://www.econbiz.de/10010576575

Disagreement, correlation and asset prices

He, Xue-Zhong; Shi, Lei - In: Economics Letters 116 (2012) 3, pp. 512-515

When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected payoff, variance and correlation, and compare prices with benchmark...

Persistent link: https://www.econbiz.de/10010594124

Short-sale constraints and efficiency of the spot–futures dynamics

McMillan, David G.; Philip, Dennis - In: International Review of Financial Analysis 24 (2012) C, pp. 129-136

This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008–2009 financial crisis. We find that the equilibrium position for the basis during the ban period is below that normally seen, with the spot price...

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Derivatives traders’ reaction to mispricing in the underlying equity

Hayunga, Darren K.; Holowczak, Richard D.; Lung, Peter P.; … - In: Journal of Banking & Finance 36 (2012) 9, pp. 2438-2454

This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We … relative divergence between the two prices. We find a consistently positive relation between the level of stock mispricing and … effect of shorting limitations on mispricing, we further examine prices during the short-sale ban in 2008. The results hold …

Persistent link: https://www.econbiz.de/10010599642

Payout yield, risk, and mispricing: A Bayesian analysis

Shanken, Jay; Tamayo, Ane - In: Journal of Financial Economics 105 (2012) 1, pp. 131-152

We develop a simple parametric model in which hypotheses about predictability, mispricing, and the risk-return tradeoff … risk-return tradeoff and the extent to which predictability is driven by mispricing. The impact of these beliefs on an …

Persistent link: https://www.econbiz.de/10010571677