Search Results - subject:"Mispricing"

Mispricing and lasting arbitrage between parallel markets in the Czech Republic

Hanousek, Jan; Nemecek, Libor - In: The European Journal of Finance 8 (2002) 1, pp. 46-69

If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related question is whether two parallel emerging markets offering more or less the same securities but using different institutional designs, can behave as a single, fully integrated...

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Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence … predictability in mispricing changes measured over high (minute-by-minute) and low (daily) frequencies. Contrary to other studies we … first-order autocorrelation in mispricing changes similar in magnitude to that actually observed. For low-frequency data, we …

Persistent link: https://www.econbiz.de/10014620847

Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic

Hanousek, Jan; Nemecek, Libor - EconWPA - 2001

Persistent link: https://www.econbiz.de/10005077009

Emerging Market Debt: Measuring Credit Quality and Examining Relative Pricing

Cumby, Robert; Pastine, Tuvana - C.E.P.R. Discussion Papers - 2001

We investigate the pricing of ‘Brady’ bonds that are issued by the governments of five developing countries as part of debt and debt service reduction agreements. We first present a measure of credit quality that takes account of the individual features of each bond and is comparable across...

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Mispricing in Stock Index Futures: A Reâ€Examination Using the SPI

Brailsford, Tim; Hodgson, Allan - In: Australian Journal of Management 22 (1997) 1, pp. 21-45

bias which has been problematic in previous studies. Second, the paper analyses the behaviour of the mispricing series in … relation to a number of explanatory variables. The results indicate that a frequent but small mispricing series is prevalent … volume also have an impact on absolute mispricing. We conclude that the relationship between the markets is dynamic and …

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Risk arbitrage in the Nikkei put warrant market of 1989-1990

Shaw, J.; Thorp, E. O.; Ziemba, W. T. - In: Applied Mathematical Finance 2 (1995) 4, pp. 243-272

This paper discusses the Nikkei put warrant market in Toronto and New York during 1989-1990. Three classes of long term American puts were traded which when evaluated in yen are ordinary, product and exchange asset puts, respectively. Type I do not involve exchange rates for yen investors. Type...

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Asset holdings, information aggregation in secondary markets and credit cycles

Basso, Henrique S.

boom. Due to mispricing, banks subsequently face bigger losses and capital depletion. Output then decreases sharply due to …

Persistent link: https://www.econbiz.de/10013172318

Asset holdings, information aggregation in secondary markets and credit cycles

Basso, Henrique S.

Summary of Banco de España Working Paper no. 2214

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