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Measuring arbitrage profits in imperfect markets

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMuñoz-Bouzo, María José
dc.contributor.authorBalbás, Alejandro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-12-20T15:57:03Z
dc.date.available2010-12-20T15:57:03Z
dc.date.issued2000-01
dc.description.abstractIn this paper we introduce a measure testing the degree of efficiency in securities markets with bidask spreads. The measure tests relative arbitrage profits when there are transaction costs on the prices and payoffs of the assets. Moreover, we prove that the measure is the minimum of the measures of efficiency in all frictionless markets where the prices and payoffs lie between the bid and the ask prices and payoffs respectively. In particular, we fmd that the model is arbitrage-free if and only if there exist convex combinations of the bid and the ask prices and payoffs such that the corresponding frictionless model is arbitrage-free.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9846
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries00-01
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.titleMeasuring arbitrage profits in imperfect markets
dc.typeworking paper*
dspace.entity.typePublication
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