Essays about: "arbitrage theory"
Showing result 11 - 15 of 37 essays containing the words arbitrage theory.
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11. IPO Lock-up expirations; An empirical study on the Nordic market during 2009-2016
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : 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
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12. Effects of derivative use on firm value: Evidence from Nordic financial firms
University essay from Umeå universitet/FöretagsekonomiAbstract : Abstract Financial firms are carrying more risks than non-financial firms as they are operating with highly liquid assets. Use of derivatives is one of hedging techniques used in protecting firms from such kind of risks. There has been considerable discussion in academia of whether or not derivative usage can be considered to be value relevant. READ MORE
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13. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies
University essay from Linköpings universitet/ProduktionsekonomiAbstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE
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14. On-Line Market Microstructure Prediction Using Hidden Markov Models
University essay from KTH/Matematisk statistikAbstract : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. READ MORE
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15. The Effect of Bond Convexity in Abnormal Volatility
University essay fromAbstract : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. READ MORE