Measuring arbitrage profits in imperfect markets

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dc.contributor.author Muñoz-Bouzo, María José
dc.contributor.author Balbás, Alejandro
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2010-12-20T15:57:03Z
dc.date.available 2010-12-20T15:57:03Z
dc.date.issued 2000-01
dc.identifier.uri http://hdl.handle.net/10016/9846
dc.description.abstract In 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.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 00-01
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Measuring arbitrage profits in imperfect markets
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
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