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Página 1 dos resultados de 37 itens digitais encontrados em 0.010 segundos

- Fundação Getúlio Vargas
- MIT Press
- Banco Mundial
- World Bank, Washington, DC
- Universidade Nacional da Austrália
- Instituto Universitário Europeu
- IEEE Xplore Digital Library
- Universidade Carlos III de Madrid
- International Association of Energy Economists (IAEE)
- Massachusetts Institute of Technology
- Universidade Cornell
- Mais Publicadores...

## The Market for borrowing securities in Brazil

Fonte: Fundação Getúlio Vargas
Publicador: Fundação Getúlio Vargas

Tipo: Dissertação

Português

Relevância na Pesquisa

26.44%

#Short-sale constraints#Securities lending#Tax arbitrage#Brazil#Mercado financeiro#Empréstimo de ativos#Ações (Finanças)

We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).

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## $100 Bills on the Sidewalk: Suboptimal Investment in 401(k) Plans*

Fonte: PubMed
Publicador: PubMed

Tipo: Artigo de Revista Científica

Publicado em /08/2011
Português

Relevância na Pesquisa

26.2%

We identify employees at seven companies whose 401(k) investment choices are dominated because they are contributing less than the employer matching contribution threshold despite being vested in their match and being able to make penalty-free 401(k) withdrawals for any reason because they are older than 59½. At the average firm, 36% of match-eligible employees over 59½ forego arbitrage profits that average 1.6% of their annual pay, or $507. A survey educating employees about the free lunch they are foregoing raised contribution rates by a statistically insignificant 0.67 percent of income among those completing the survey.

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## $100 Bills on the Sidewalk: Violations of No-Arbitrage in 401(k) Accounts

Fonte: MIT Press
Publicador: MIT Press

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

46.56%

We identify employees at seven companies whose 401(k) investment choices are dominated because they are contributing less than the employer matching contribution threshold despite being vested in their match and being able to make penalty-free 401(k) withdrawals for any reason because they are older than 59½. At the average firm, 36% of match-eligible employees over age 59½ forgo arbitrage profits that average 1.6% of their annual pay, or $507. A survey educating employees about the free lunch they are forgoing raised contribution rates by a statistically insignificant 0.67% of income among those completing the survey.

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## When is Capital Enough to Get Female Enterprises Growing? Evidence from a Randomized Experiment in Ghana

Fonte: Banco Mundial
Publicador: Banco Mundial

Português

Relevância na Pesquisa

26.52%

#ACCOUNTING#AFFILIATED ORGANIZATIONS#AGRICULTURE#ARBITRAGE#CAPITAL GRANT#CAPITAL GRANTS#CAPITAL REQUIREMENT#CAPITAL STOCK#CAPITAL STOCKS#CASH TRANSFER#CASH TRANSFERS

Standard models of investment predict
that credit-constrained firms should grow rapidly when given
additional capital, and that how this capital is provided
should not affect decisions to invest in the business or
consume the capital. The authors randomly gave cash and
in-kind grants to male- and female-owned microenterprises in
urban Ghana. Their findings cast doubt on the ability of
capital alone to stimulate the growth of female
microenterprises. First, while the average treatment effects
of the in-kind grants are large and positive for both males
and females, the gain in profits is almost zero for women
with initial profits below the median, suggesting that
capital alone is not enough to grow subsistence enterprises
owned by women. Second, for women they strongly reject
equality of the cash and in-kind grants; only in-kind grants
lead to growth in business profits. The results for men also
suggest a lower impact of cash, but differences between cash
and in-kind grants are less robust. The difference in the
effects of cash and in-kind grants is associated more with a
lack of self-control than with external pressure. As a
result...

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## Rain, Agriculture, and Tariffs

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Português

Relevância na Pesquisa

26.41%

#AGRICULTURAL COMMODITIES#AGRICULTURAL ECONOMIC#AGRICULTURAL ECONOMICS#AGRICULTURAL EXPORTS#AGRICULTURAL GOOD#AGRICULTURAL GOODS#AGRICULTURAL IMPORTS#AGRICULTURAL LAND#AGRICULTURAL MARKETS#AGRICULTURAL OUTPUT#AGRICULTURAL PRICES

This paper examines whether and how
rainfall shocks affect tariff setting in the agricultural
sector. In a model of strategic trade policy, the authors
show that the impact of a negative rainfall shock on optimal
import tariffs is generally ambiguous, depending on the
weight placed by the domestic policy maker on tariff
revenue, profits and the consumer surplus. The more weight
placed on domestic profits, the more likely it is that the
policy maker will respond to a rainfall shortage by reducing
import tariffs. These findings are robust to alternative
assumptions about market structure and the timing of the
game. Using detailed panel data on applied tariffs and
rainfall for 70 nations, the authors find robust evidence
that rainfall shortages generally induce policy makers to
set lower tariffs on agricultural imports.

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## The international transmission of arbitrage information across futures markets

Fonte: Universidade Nacional da Austrália
Publicador: Universidade Nacional da Austrália

Tipo: Working/Technical Paper
Formato: 99769 bytes; 364 bytes; application/pdf; application/octet-stream

Português

Relevância na Pesquisa

26.78%

The paper examines whether deviations from a domestic spot-futures relation, as identified through mispricing series in stock index futures, spillover international boundaries. Such spillovers suggest that information from a mispricing series in one market conveys a signal of similar mispricing in another market. In the presence of arbitrage traders and in the absence of market frictions, mispricing series should be independent across international boundaries. The study employs a VAR analysis of stock index futures mispricing across Australia, the UK and USA. Using time zone differences, tests are conducted for the daily transmission of arbitrage information. The results reveal the relationship between mispricing series is bi-directional. Based on this finding, a trading strategy is employed to examine the economic significance of apparent profits. The results show that some profits are possible but that a long horizon, probably beyond the scope of most traders, is required to exploit the spillover information.; no

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## Analysis of the Strategic Use of Forward Contracting in Electricity Markets

Fonte: Instituto Universitário Europeu
Publicador: Instituto Universitário Europeu

Tipo: Trabalho em Andamento
Formato: application/pdf; digital

Português

Relevância na Pesquisa

16.56%

Absence of arbitrage is one of the fundamental tools to describe financial markets. The no-arbitrage price of any financial contract represents players’ valuation of the uncertain future income stream that will result from the contract. This reasoning is based on considering future income streams as exogenously defined variables. When spot markets do not behave under the assumption of perfect competition, future income streams might depend on players’ strategies. If this is the case, price differences between the forward and the spot markets do not imply the existence of arbitrage opportunities, as market players cannot take advantage of such differences. The paper will study the forward-spot interaction in the presence of spot market power. It will be shown that, when producers anticipate that forward sales reduce spot price, they can react in the forward market to compensate for the spot price decrease. Hence, players profits are, considering both forward and spot markets, equivalent to the ones obtained in the case where no forward trading is allowed. The paper also develops a multi-period model that considers the role of private information, aimed to represent that past spot prices are signals of the probability of future spot prices. In this context...

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## Market evaluation of a hypotetical pump-hydro storage plant in the Italian power system

Fonte: IEEE Xplore Digital Library
Publicador: IEEE Xplore Digital Library

Tipo: Contributions to Conferences
Formato: Online

Português

Relevância na Pesquisa

26.41%

This study assesses the profitability of an investment in a pump hydro storage plant (PHS) located in Italy. We model in GAMS the operation of a price-taker PHS during nine years, from 2005 to 2013. Results show positive operation profits in all regions, with the highest results being recorded by the geographical zones SICI and SARD. The NPV analysis shows negative values though, ranging between -148 €/MWh and -75 €/MWh, for the storage investments in all regions. This result might be due to several factors. In general arbitrage profits are higher in correspondence to big price spreads. In Italy, although maximum prices are quite high with respect to other European countries, minimum price levels are also high, which leads to high operation costs and worst business case for storage investment. The study deserves further investigation of the strategic role of storage at system level to include wider benefits to the overall market assessment.; JRC.F.6-Energy Technology Policy Outlook

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## Integration and arbitrage in the spanish financial markets: an empirical approach

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /12/1997
Português

Relevância na Pesquisa

56.97%

#Integration#Arbitrage profits#State prices#Risk-neutral probability measure#Efficient market#Empresa

Several authors have introduced different ways to measure the integration between fmancial markets. Most of
them are derived from the basic assumptions to price assets, like the Law of One Price or the absence of arbitrage
opportunities. Two perfectly integrated markets must give identical price to identical fmal payoffs, and a vector of
positive discount factors, common to both markets, must exist. Therefore, if these properties do not hold, their
degree of violation can be measured and considered as an integration measure.
The present paper empirically test the integration measures in the Spanish fmancial markets. Hence, several
interesting values are obtained, like for instance, the state prices or the risk-neutral probabilities. Furthermore,
when the risk-neutral probabilities do not exist, explicit cross-market arbitrage portfolios are detected.
The results of our test are surprising for several reasons. First of all, the arbitrage opportunities very often appear,
and the bid-ask spread and the transaction costs are not able to avoid the arbitrage profits. Furthermore, the
criticisms, which are usually argued when empirical papers show the existence of arbitrage opportunities, do not
apply here, since we work with perfectly synchronized high frequency data. On the other hand...

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## Stochastic measures of financial markets efficiency and integration

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /12/1997
Português

Relevância na Pesquisa

26.56%

The notion of integration of different fmancial markets is often related to the absence of crossmarket arbitrage
opportunities. Under the appropriated asswnptions and in absence of cross-market arbitrage opportunities, a riskneutral
probability measure, shared by both markets, must exist. Some authors have considered this to provide
some integration measures when the markets do not share any pricing rule, but always in static (or one period)
asset pricing models.
The purpose or this paper is to extend the refereed notions to a more general context. This is accomplished by
introducing a methodology which may be applied in any intertemporal dynamic asset pricing model and without
special asswnptions on the assets prices stochastic process. Then, the integration measures introduced here are
stochastic processes testing different relative arbitrage profits and depending on the state of nature and on the date.
The measures are introduced in a single fmancial market. When this market is not a global market from different
ones, the measures simply test the degree of market efficiency.
Transaction costs can be discounted in our model. Therefore, one can measure efficiency and integration in
models with frictions.
The main results are also interesting form a mathematical pint of view...

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## Measuring arbitrage profits in imperfect markets

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/octet-stream; application/octet-stream; application/pdf

Publicado em /01/2000
Português

Relevância na Pesquisa

46.85%

In this paper we introduce a measure testing the degree of efficiency in securities markets with bidask spreads. The measure tests relative arbitrage profits when there are transaction costs on the prices and payoffs of the assets. Moreover, we prove that the measure is the minimum of the measures of efficiency in all frictionless markets where the prices and payoffs lie between the bid and the ask prices and payoffs respectively. In particular, we fmd that the model is arbitrage-free if and only if there exist convex combinations of the bid and the ask prices and payoffs such that the corresponding frictionless model is arbitrage-free.

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## Spatial arbitrage value of transmission upgrade investments. An economic and environmental assessment

Fonte: International Association of Energy Economists (IAEE)
Publicador: International Association of Energy Economists (IAEE)

Tipo: Articles in periodicals and books
Formato: Online

Português

Relevância na Pesquisa

26.44%

This study contributes to the current discussion on the economic viability of new investments in transmission line upgrade and the associated environmental impact in terms of changes in CO2 emissions and renewable power integration. The line upgrade investment increases the power capacity between two interconnected zones, thus alleviating intra-zonal congestion. Its operation maximizes spatial arbitrage value by shifting power from the cost-efficient zone (with low marginal generation costs) to the neighbouring zone (with higher marginal costs), up to the interconnection capacity. The investment analysis focuses on the case of Sicily. In the first part of the study we assess the profitability of the line upgrade project. We assume 2013 as the reference year for the NPV analysis, so that profits and costs flow are the same as in 2013 during the entire investment period. In the second part of the study we assess the environmental impact of the project's operation in terms of CO2 emissions and changes in the share of renewable generation in the system. The environmental impact is determined by considering the carbon content/share of renewable of the power transferred from the lower price zone to the neighbouring zone. Both private and system values of investments in line upgrade result to be positive for the considered project. Power flows from one zone to the other as long as marginal costs of the first zone are lower than the marginal costs of the second zone. Power trade allows for economies of scale and improvement in environmental quality...

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## Incentive Audits : A New Approach to Financial Regulation

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research

Português

Relevância na Pesquisa

26.2%

#ACCOUNTABILITY#ACCOUNTING#ADVANCED ECONOMIES#ADVERSE SELECTION#ARBITRAGE#ASYMMETRIC INFORMATION#AUDITING#AUDITORS#AUDITS#AUTONOMY#BALANCE SHEET

A large body of evidence points to
misaligned incentives as having a key role in the run-up to
the global financial crisis. These include bank
managers' incentives to boost short-term profits and
create banks that are "too big to fail,"
regulators' incentives to forebear and withhold
information from other regulators in stressful times, and
credit rating agencies' incentives to keep issuing high
ratings for subprime assets. As part of the response to the
crisis, policymakers and regulators also attempted to
address some incentive issues, but various outside observers
have criticized the response for being insufficient. This
paper proposes a pragmatic approach to re-orienting
financial regulation to have at its core the objective of
addressing incentives on an ongoing basis. Specifically, the
paper proposes "incentive audits" as a tool that
could help in identifying incentive misalignments in the
financial sector. The paper illustrates how such audits
could be implemented in practice, and what the implications
would be for the design of policies and frameworks to
mitigate systemic risks.

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## Essays on financial market imperfections

Fonte: Massachusetts Institute of Technology
Publicador: Massachusetts Institute of Technology

Tipo: Tese de Doutorado
Formato: 130 p.

Português

Relevância na Pesquisa

26.2%

This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance - the momentum anomaly. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. Chapter 2 studies how information asymmetry prevents perfect risk-sharing and offers insights on stock return behavior. Chapter 3 explores the idea of Tobin's tax in the context of an emerging market and in particular examines the cost effects on speculation in the Chinese stock market.; by Ding Wu.; Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2007.; Includes bibliographical references.

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## A limit order book model for latency arbitrage

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/10/2011
Português

Relevância na Pesquisa

26.52%

We consider a single security market based on a limit order book and two
investors, with different speeds of trade execution. If the fast investor can
front-run the slower investor, we show that this allows the fast trader to
obtain risk free profits, but that these profits cannot be scaled. We derive
the fast trader's optimal behaviour when she has only distributional knowledge
of the slow trader's actions, with few restrictions on the possible prior
distributions. We also consider the slower trader's response to the presence of
a fast trader in a market, and the effects of the introduction of a `Tobin tax'
on financial transactions. We show that such a tax can lead to the elimination
of profits from front-running strategies. Consequently, a Tobin tax can both
increase market efficiency and attract traders to a market.

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## Limited profit in predictable stock markets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 24/03/2004
Português

Relevância na Pesquisa

26.41%

#Condensed Matter - Statistical Mechanics#Nonlinear Sciences - Adaptation and Self-Organizing Systems#Quantitative Finance - Trading and Market Microstructure

It has been assumed that arbitrage profits are not possible in efficient
markets, because future prices are not predictable. Here we show that
predictability alone is not a sufficient measure of market efficiency. We
instead propose to measure inefficiencies of markets in terms of the maximal
profit an ideal trader can take out from a market. In a stock market model with
an evolutionary selection of agents this method reveals that the mean relative
amount of realizable profits $P$ is very limited and we find that it decays
with rising number of agents in the markets. Our results show that markets may
self-organize their collective dynamics such that it becomes very sensitive to
profit attacks which demonstrates that a high degree of market efficiency can
coexist with predictability.; Comment: 4 pages, 4 figures

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## Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

26.41%

The currency carry trade is the investment strategy that involves selling low
interest rate currencies in order to purchase higher interest rate currencies,
thus profiting from the interest rate differentials. This is a well known
financial puzzle to explain, since assuming foreign exchange risk is
uninhibited and the markets have rational risk-neutral investors, then one
would not expect profits from such strategies. That is uncovered interest rate
parity (UIP), the parity condition in which exposure to foreign exchange risk,
with unanticipated changes in exchange rates, should result in an outcome that
changes in the exchange rate should offset the potential to profit from such
interest rate differentials. The two primary assumptions required for interest
rate parity are related to capital mobility and perfect substitutability of
domestic and foreign assets. Given foreign exchange market equilibrium, the
interest rate parity condition implies that the expected return on domestic
assets will equal the exchange rate-adjusted expected return on foreign
currency assets.
However, it has been shown empirically, that investors can actually earn
arbitrage profits by borrowing in a country with a lower interest rate,
exchanging for foreign currency...

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## On arbitrages arising from honest times

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

26.64%

In the context of a general continuous financial market model, we study
whether the additional information associated with an honest time gives rise to
arbitrage profits. By relying on the theory of progressive enlargement of
filtrations, we explicitly show that no kind of arbitrage profit can ever be
realised strictly before an honest time, while classical arbitrage
opportunities can be realised exactly at an honest time as well as after an
honest time. Moreover, stronger arbitrages of the first kind can only be
obtained by trading as soon as an honest time occurs. We carefully study the
behavior of local martingale deflators and consider no-arbitrage-type
conditions weaker than NFLVR.; Comment: 25 pages, revised version

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## Statistical Arbitrage in the Black-Scholes Framework

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

26.56%

In this study we prove the existence of statistical arbitrage opportunities
in the Black-Scholes framework by considering trading strategies that consists
of borrowing from the risk free rate and taking a long position in the stock
until it hits a deterministic barrier level. We derive analytical formulas for
the expected value, variance, and probability of loss for the discounted
cumulative trading profits. No-statistical arbitrage condition is derived for
the Black-Scholes framework, which imposes a constraint on the Sharpe ratio of
the stock. Furthermore, we verify our theoretical results via extensive Monte
Carlo simulations.

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## A Systematic Approach to Constructing Market Models With Arbitrage

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

26.44%

This short note provides a systematic construction of market models without
unbounded profits but with arbitrage opportunities.; Comment: Very minor changes

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