This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Rodolfo Apreda

Additional information is available for the following registered author(s):

Abstract

Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view suffers from many downsides, leaving distinctive issues unresolved. By the same token, similar shortcoming prevent the standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper sets forth a new approach that is grounded on transactional algebras, which shapes the arbitrage gaps of return within institutional settings, to give account of market microstructure features and enlarged transaction costs.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cema.edu.ar/publicaciones/download/documentos/239.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Universidad del CEMA in its series CEMA Working Papers: Serie Documentos de Trabajo. with number 239.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Jul 2003
Date of revision:
Handle: RePEc:cem:doctra:239

Contact details of provider:
Postal: Av. C�rdoba 374, (C1054AAP) Capital Federal
Phone: (5411) 6314-3000
Fax: (5411) 4314-1654
Email:
Web page: http://www.cema.edu.ar/publicaciones/doc_trabajo.html
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Valeria Dowding).

Related research
Keywords: Arbitrage; Transaction Costs; Residual Information Sets; Differential Rates of Return; Arbitrage Gaps;

Other versions of this item:

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Rodolfo Apreda, 1998. "Dynamic Arbitrage Gaps for Financial Assets," CEMA Working Papers: Serie Documentos de Trabajo. 134, Universidad del CEMA. [Downloadable!]
  2. Jonathan Haskel & Holger Wolf, 2001. "The Law of One Price -- A Case Study," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  3. Charles Engel & John H. Rogers, 1999. "Violating the law of one price: should we make a federal case out of it?," International Finance Discussion Papers 644, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  4. Dammon, Robert M & Green, Richard C, 1987. " Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, vol. 42(5), pages 1143-66, December. [Downloadable!] (restricted)
  5. Michael M. Knetter, 1997. "The Segmentation of International Markets: Evidence from The Economist," NBER Working Papers 5878, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Charles Engel & John H. Rogers, 1994. "How Wide is the Border?," NBER Working Papers 4829, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June. [Downloadable!] (restricted)
  8. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA. [Downloadable!]
  9. Froot, Kenneth A. & Kim, Michael & Rogoff, Kenneth, 1995. "The Law of One Price Over 700 Years," Working Papers 95-13, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    Other versions:
  10. Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 55-72, Fall. [Downloadable!] (restricted)
  11. Metcalf, Gilbert E, 1990. "Arbitrage and the Savings Behavior of State Governments," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 390-96, August. [Downloadable!] (restricted)
    Other versions:
  12. Rodolfo Apreda, 2000. "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo. 161, Universidad del CEMA. [Downloadable!]
  13. Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons., 1998. "Search Costs: The Neglected Spread Component," Research Program in Finance Working Papers RPF-285, University of California at Berkeley. [Downloadable!]
  14. Andrei Shleifer & Robert W. Vishny, 2001. "Stock Market Driven Acquisitions," NBER Working Papers 8439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Rodolfo Apreda, 2004. "Differential rates, residual information sets and transactional algebras," CEMA Working Papers: Serie Documentos de Trabajo. 256, Universidad del CEMA. [Downloadable!]
Statistics
Access and download statistics

Did you know? Cannot find something on IDEAS? Encourage the publisher to index it! Instructions.

This page was last updated on 2009-11-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.