Arbitrage Risk and the Book-to-Market Anomaly

2002 ◽  
Author(s):  
Ashiq Ali ◽  
Lee-Seok Hwang ◽  
Mark A. Trombley
Keyword(s):  
Arbitrage Risk ◽  
Market Anomaly

Arbitrage risk and the book-to-market anomaly

2003 ◽  
Vol 69 (2) ◽  
pp. 355-373 ◽  
Author(s):  
Ashiq Ali ◽  
Lee-Seok Hwang ◽  
Mark A. Trombley
Keyword(s):  
Arbitrage Risk ◽  
Market Anomaly

Arbitrage Risk and the Book-to-Market Anomaly

CFA Digest ◽  
2004 ◽  
Vol 34 (1) ◽  
pp. 40-42
Author(s):  
Keith H. Black
Keyword(s):  
Arbitrage Risk ◽  
Market Anomaly

The Relation between Abnormal Audit Fees and Market Anomaly: Do Investors Perceive Abnormal Audit Fees?

2018 ◽  
Vol 27 (1) ◽  
pp. 1-37
Author(s):  
Sang Ho Lee ◽  
Seung Uk Choi
Keyword(s):  
Audit Fees ◽  
Market Anomaly

The Going-Concern Market Anomaly

2009 ◽  
Vol 47 (1) ◽  
pp. 213-239 ◽  
Author(s):  
ASAD KAUSAR ◽  
RICHARD J. TAFFLER ◽  
CHRISTINE TAN
Keyword(s):  
Going Concern ◽  
Market Anomaly

scholarly journals Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance

2004 ◽  
Vol 10 (5) ◽  
pp. 1111-1131 ◽  
Author(s):  
C. M. S. Sutcliffe
Keyword(s):  
Private Sector ◽  
Asset Allocation ◽  
Risk Sharing ◽  
Pension Funds ◽  
The Other ◽  
Pension Scheme ◽  
Economic Factors ◽  
Risk Return ◽  
Pension Schemes ◽  
Arbitrage Risk

ABSTRACTThe asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset allocation between equities and bonds is indeterminate and governed by the risk/return preferences of the trustees and the employer. If the employing company and its shareholders are subject to taxation, there is a tax advantage in a largely bond allocation. Risk sharing between the employer and the employees often means that one group favours a high equity allocation, while the other favours a low equity allocation. Underpriced default insurance creates an incentive for a high equity allocation. When taxation, risk sharing and underpriced default insurance are all present, it is concluded that the appropriate asset allocation varies with the circumstances of the scheme; but that a high equity allocation is probably inappropriate for many private sector pension schemes.

Arbitrage risk and the turnover anomaly

2013 ◽  
Vol 37 (11) ◽  
pp. 4172-4182 ◽  
Author(s):  
Pin-Huang Chou ◽  
Tsung-Yu Huang ◽  
Hung-Jeh Yang
Keyword(s):  
Arbitrage Risk

An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly

1989 ◽  
Vol 24 (1) ◽  
pp. 1-18 ◽  
Author(s):  
J. Austin Murphy ◽  
Jimmy E. Hilliard
Keyword(s):  
Futures Market ◽  
Equilibrium Structure ◽  
Commodity Futures ◽  
Market Anomaly
Sign in / Sign up

Export Citation Format

Share Document