John A. Doukas, Chansog (Francis) Kim, Christos Pantzalis, (2010), "Arbitrage Risk and Stock Mispricing", The Journal of Financial and Quantitative Analysis, Vol. 45, No. 4 (AUGUST 2010), pp. 907-934Doukas,J. ,C. Kim,and C. Pantzalis,2010,"Arbitrage Risk and Stock Mispricing ",...
cross section of stock returnslarge capsWe investigate the relationship between risk-adjusted returns, arbitrage risk and arbitrage asymmetry, and investor sentiment in the European stock market. Undedoi:10.2139/ssrn.3264033Guidolin, MassimoRicci, Andrea...
However, apparent arbitrages must be examined carefully, to make sure that the price differential is an actual mispricing and does not represent a risk premium or compensation for a perceived utility. Arbitrage is very closely related to the concept of market efficiency. Proponents of the Efficient...
1 Second, and more importantly, we test the potential factors that may generate the poor performance associated with high left-tail risk stocks. Atilgan, Bali, et al. (2020) provide evidence on the ability of limits to arbitrage and attention to explain left-tail momentum. In this paper, ...
Sell high: Nearly simultaneously, you sell 1,000 shares of XYZ on the Tokyo Stock Exchange for $101,000. Pocket the difference: You've made a profit of $1,000 (minus any transaction costs) with virtually no risk. Market impact: As you and other arbitrageurs repeat this process, the inc...
and selling shares of twocompaniesinvolved, or that may be involved, in atakeover, in order to make a profit from differences in the share values of the two companiesThe company incurred losses inrisk arbitrage- or takeover-stock speculation - arising from last year’s slump in U.S. ...
Her areas of interest include stock market pricing patterns, derivatives, valuation and their use for market risk management and credit risk. Current research activities focus on creditReferences (25) S. Auguste et al. Cross-border trading as a mechanism for implicit capital flight: ADRs and the...
There are a plethora ofarbitrage techniquesthat can be executed whenever there is perceived market inefficiency. However, as more and more arbitrageurs attempt to replicate these no-risk or low-risk events, these opportunities disappear, leading to a convergence of prices. For this reason, arbitrage...
20 IV. Conclusion The finding is consistent with the Shleifer and Vishny (1997) thesis that risk associated with the volatility of arbitrage returns deters arbitrage activity and is an important reason for the existence of the B/M-related mispricing. The authors also recognize the limitation of ...
In the context of the Arbitrage Pricing Theory (APT) formula, the anticipated return on a stock is computed by considering various factors and their respective sensitivities along with the associated risk premiums. Let’s use different values for illustration: Gross domestic product (GDP) growth: ...