Essays about: "Capital arbitrage theory"

Showing result 1 - 5 of 6 essays containing the words Capital arbitrage theory.

  1. 1. IPO Lock-up expirations; An empirical study on the Nordic market during 2009-2016

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Oskar van Enst; Erika Forsberg; [2017]
    Keywords : IPO; Lock-up periods; abnormal returns; efficient market hypothesis; PEVCownership; Business and Economics;

    Abstract : Purpose: The purpose of this study is to investigate whether abnormal returns can be observed in stock prices after the expiration of lock-up periods related to an IPO. In addition, the purpose is to analyse if private equity/venture capital (PEVC) ownership, the use of staggered lock-ups and the length of lock-up periods affect this return. READ MORE

  3. 2. RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia     

    University essay from Företagsekonomi; Handelshögskolan vid Umeå universitet (USBE)

    Author : Serkalem Tilahun Basazinew; Aliaksandra Vashkevich; [2013]
    Keywords : sovereign credit risk; credit default swap; stock index; Merton model; price discovery; capital structure arbitrage; emerging market.;

    Abstract : When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. READ MORE

  4. 3. An Analysis of Exchange Rate Variability and Stock Returns : A Swedish Perspective

    University essay from Handelshögskolan vid Umeå universitet

    Author : Nixon Nebaneh; Shella Ndobe; [2010]
    Keywords : Exchange rate variability; stock returns; macroeconomic variables; OMX; Large cap; Mid cap and Small cap;

    Abstract : The emergence of capital markets in Asia and South America, the relaxation of foreign capital controls and the adoption of flexible exchange rate regimes has prompted heavy cross-border investments in recent years.  Simultaneously, volatility in these foreign exchange markets has increased, leading to increased risk following the adoption of these flexible exchange regimes. READ MORE

  5. 4. Zero impact or zero reliability? : An empirical test of Capital Asset Pricing Model during periods ofzero risk-free rate

    University essay from Handelshögskolan vid Umeå universitet

    Author : Ackis Grammenidis; Anna Fattor; [2009]
    Keywords : Capital Asset Pricing Model; Risk-free interest rate; Portfolio Theory; Empirical Test on CAPM; Arbitrage Pricing Theory; Stock’s prices;

    Abstract : 1.3. Research Questions. With this in mind, the research questions of this work are: 1. READ MORE

  6. 5. Trading in the Credit Derivatives market with equity-based Credit Default Swap spreads

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martin Nilsson; Jakob Palmstierna; [2007]
    Keywords : credit default swap; Basel II; Capital Structure Arbitrage; Probability of Default; equity-based modelling; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivatives in general and Credit Default Swaps in particular. We develope (from Atlan and Leblanc (2005) and Bengtsson and Bjurhult (2006)) a model to price the CDS contracts and use this in a trading strategy - trying to find risk arbitrage. READ MORE