FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4214559097> ?p ?o ?g. }

• W4214559097 endingPage "1113" @default.
• W4214559097 startingPage "1084" @default.
• W4214559097 abstract "Abstract We study the nonlinear limits to arbitrage in a model. When mispricing is small, arbitrage activity increases with mispricing because of the higher cost‐adjusted return. However, at high levels of mispricing, arbitrageurs are deterred by larger mispricing as funding constraints become more binding. Testing the model predictions on the index spot‐futures arbitrage with a Markov‐switching model, we document an inverse U‐shaped relationship between mispricing and arbitrage activity. The extreme regime is with the largest mispricing but least arbitrage activity, and coincides with the market turmoil, suggesting that funding constraints become the main driver behind the limit to arbitrage." @default.
• W4214559097 created "2022-03-02" @default.
• W4214559097 creator A5001954803 @default.
• W4214559097 creator A5006180397 @default.
• W4214559097 creator A5066686727 @default.
• W4214559097 creator A5070819732 @default.
• W4214559097 date "2022-02-28" @default.
• W4214559097 modified "2023-10-16" @default.
• W4214559097 title "Nonlinear limits to arbitrage" @default.
• W4214559097 cites W1887588017 @default.
• W4214559097 cites W2034592489 @default.
• W4214559097 cites W2035036780 @default.
• W4214559097 cites W2041724066 @default.
• W4214559097 cites W2051870948 @default.
• W4214559097 cites W2074812030 @default.
• W4214559097 cites W2092179167 @default.
• W4214559097 cites W2093887133 @default.
• W4214559097 cites W2109718988 @default.
• W4214559097 cites W2130659611 @default.
• W4214559097 cites W2138591453 @default.
• W4214559097 cites W2163369381 @default.
• W4214559097 cites W2163575286 @default.
• W4214559097 cites W2334058874 @default.
• W4214559097 cites W2563014775 @default.
• W4214559097 cites W2598443098 @default.
• W4214559097 cites W2604336474 @default.
• W4214559097 cites W3121401171 @default.
• W4214559097 cites W3121510971 @default.
• W4214559097 cites W3121630491 @default.
• W4214559097 cites W3121883626 @default.
• W4214559097 cites W3122517109 @default.
• W4214559097 cites W3122675873 @default.
• W4214559097 cites W3122766348 @default.
• W4214559097 cites W3123010909 @default.
• W4214559097 cites W3123273931 @default.
• W4214559097 cites W3123639445 @default.
• W4214559097 cites W3123652819 @default.
• W4214559097 cites W3123661710 @default.
• W4214559097 cites W3123783648 @default.
• W4214559097 cites W3123842146 @default.
• W4214559097 cites W3123892291 @default.
• W4214559097 cites W3123997422 @default.
• W4214559097 cites W3124564383 @default.
• W4214559097 cites W3150714250 @default.
• W4214559097 cites W4234200146 @default.
• W4214559097 cites W4235716349 @default.
• W4214559097 doi "https://doi.org/10.1002/fut.22320" @default.
• W4214559097 hasPublicationYear "2022" @default.
• W4214559097 type Work @default.
• W4214559097 citedByCount "1" @default.
• W4214559097 countsByYear W42145590972023 @default.
• W4214559097 crossrefType "journal-article" @default.
• W4214559097 hasAuthorship W4214559097A5001954803 @default.
• W4214559097 hasAuthorship W4214559097A5006180397 @default.
• W4214559097 hasAuthorship W4214559097A5066686727 @default.
• W4214559097 hasAuthorship W4214559097A5070819732 @default.
• W4214559097 hasBestOaLocation W42145590972 @default.
• W4214559097 hasConcept C106159729 @default.
• W4214559097 hasConcept C106306483 @default.
• W4214559097 hasConcept C134306372 @default.
• W4214559097 hasConcept C136764020 @default.
• W4214559097 hasConcept C142450864 @default.
• W4214559097 hasConcept C149782125 @default.
• W4214559097 hasConcept C151201525 @default.
• W4214559097 hasConcept C160623529 @default.
• W4214559097 hasConcept C162324750 @default.
• W4214559097 hasConcept C167416602 @default.
• W4214559097 hasConcept C181236170 @default.
• W4214559097 hasConcept C2777382242 @default.
• W4214559097 hasConcept C2779150987 @default.
• W4214559097 hasConcept C33923547 @default.
• W4214559097 hasConcept C41008148 @default.
• W4214559097 hasConcept C42854785 @default.
• W4214559097 hasConcept C52008547 @default.
• W4214559097 hasConcept C73688673 @default.
• W4214559097 hasConceptScore W4214559097C106159729 @default.
• W4214559097 hasConceptScore W4214559097C106306483 @default.
• W4214559097 hasConceptScore W4214559097C134306372 @default.
• W4214559097 hasConceptScore W4214559097C136764020 @default.
• W4214559097 hasConceptScore W4214559097C142450864 @default.
• W4214559097 hasConceptScore W4214559097C149782125 @default.
• W4214559097 hasConceptScore W4214559097C151201525 @default.
• W4214559097 hasConceptScore W4214559097C160623529 @default.
• W4214559097 hasConceptScore W4214559097C162324750 @default.
• W4214559097 hasConceptScore W4214559097C167416602 @default.
• W4214559097 hasConceptScore W4214559097C181236170 @default.
• W4214559097 hasConceptScore W4214559097C2777382242 @default.
• W4214559097 hasConceptScore W4214559097C2779150987 @default.
• W4214559097 hasConceptScore W4214559097C33923547 @default.
• W4214559097 hasConceptScore W4214559097C41008148 @default.
• W4214559097 hasConceptScore W4214559097C42854785 @default.
• W4214559097 hasConceptScore W4214559097C52008547 @default.
• W4214559097 hasConceptScore W4214559097C73688673 @default.
• W4214559097 hasFunder F4320334630 @default.
• W4214559097 hasIssue "6" @default.
• W4214559097 hasLocation W42145590971 @default.
• W4214559097 hasLocation W42145590972 @default.
• W4214559097 hasLocation W42145590973 @default.

• next