Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 7 of 7 for “"Limits to Arbitrage"”.
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Limits to Arbitrage and Commodity Index Investment
… its impact on commodity prices among legislators, practitioners and academics. This paper focuses on the unique rolling activity of commodity index investors in the commodity futures markets and shows that the price impact due to this rolling activity is both statistically and economically …
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Three Essays on Market Efficiency and Limits to Arbitrage
… focuses on idiosyncratic volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks. We examine whether these market inefficiencies can be …
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What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures
… high potential returns. Since 1980 this has lead to the dramatic, 25% annual increase in the number of hedge funds, and with nearly $700 billion managed by hedge funds in 2003. However, high risks associated with hedge fund strategies, competition and limited arbitrage opportunities contributed to …
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Testing Uncovered Interest Rate Parity in Asian Countries
… daily data from the period 2009–2022. The extent to which UIP holds is of interest from a number of perspectives since it is widely used in many international monetary analyses. It is relevant to testing the degree of international capital mobility, the efficiency of the foreign exchange market, …
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A tale of two arbs : essays on agency and financial institutions
This thesis consists of two essays covering topics in the economics of financial institutions with an emphasis on certain types of potential agency problems. In particular, it investigates two radically different types of "arbs": arbitrators and arbitrageurs. The first essay studies securities …
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Three Essays in Empirical Asset Pricing
The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed …