Essays about: "arbitrage exchange"

Showing result 1 - 5 of 26 essays containing the words arbitrage exchange.

  1. 1. A new ETF Landscape and its Relationship to the Volatility of its Underlying Assets - An empirical study of the S&P 500

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andreas Hjälm; Felix Lindahl; [2022]
    Keywords : ETF; Volatility; Arbitrage; Shock Propagation; Index Investing;

    Abstract : The global market for exchange traded funds (ETFs) has during the last decade sustained substantial growth. A global increase of AUM from ~400 billion USD in 2005 to above 7.7 trillion USD in 2020 has brought with it a changed landscape. READ MORE

  3. 2. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dominik Schleuss; Tavish Gantz; [2021]
    Keywords : MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

    Abstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE

  4. 3. Public Policy Drivers of Fintech

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alexandre Giacomoni Viana Pereira; [2020]
    Keywords : fintech; public policy; regulation; monetary policy; sandbox;

    Abstract : Fintech startups utilize technology to deliver improved financial services to users. Innovative business models created by them are increasingly important, because innovations have potential to reinvent the financial industry, but they also might bring additional risks. READ MORE

  5. 4. Does ETF Ownership Increase Stock Volatility?

    University essay from

    Author : Daniel Bysted; John Lundkvist; [2019-07-05]
    Keywords : Exchange Traded Fund; Stock Volatility; EFT ownership; Arbitrage;

    Abstract : Exchange Traded Funds (ETFs) are supposed to be priced equal to the net asset value of their underlying stocks, if not, opportunities of arbitrage occur and are quickly corrected by arbitrageurs. When a demand or liquidity shock hits the ETF market, the price of the underlying stocks are affected due to arbitrage trading. READ MORE

  6. 5. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE