Seasonality in ex ante German Stock Index futures arbitrage: where do arbitrage profits in Germany come from?
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | German |
| Veröffentlicht: |
Augsburg
Univ. Augsburg
1994
|
| Schriftenreihe: | Arbeitspapiere zur mathematischen Wirtschaftsforschung
120 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 41 S. graph. Darst. |
Internformat
MARC
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| 264 | 1 | |a Augsburg |b Univ. Augsburg |c 1994 | |
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Datensatz im Suchindex
| _version_ | 1808137663664881664 |
|---|---|
| adam_text |
TABLE
OF
CONTENTS:
1
INTRODUCTION
1
2
CONSTRUCTION
AND
REPLICATION
OF
THE
DAX
3
3
PRICING
OF
THE
DAX-FUTURES
12
3.1
INCOME
TAXES
OR
TAX-EXEMPT
INVESTORS
-
THE
CASE
OF
PRIVATE
INVESTORS
12
3.2
CORPORATE
TAXES
.
17
3.3
REVERSE
CASH
AND
CARRY
ARBITRAGE
AND
STOCK
SHORT
SALES
.
19
3.4
COMPARING
THE
FAIR
VALUES
.
22
4
EMPIRICAL
RESULTS
24
4.1
TRANSACTION
COSTS
.
24
4.2
DATA
.
25
4.3
REVERSE
CASH
AND
CARRY
ARBITRAGE
.
27
4.3.1
IGNORING
DIVIDENDE
.
28
4.3.2
INCLUDING
DIVIDENDS
.29
4.3.3
INCLUDING
DIVIDENDS
AND
SECURITY
LENDING
COSTS
.
31
,
4.4
SEASONALITY
IN
CASH
AND
CARRY
ARBITRAGE
.
32
4.4.1
IGNORING
DIVIDENDS
.
32
4.4.2
INCLUDING
DIVIDENDS
.
33
5
SUMMARY
OF
RESULTS
34
6
REFERENCES
37
7
APPENDIX
39 |
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| author | Bamberg, Günter 1940- Röder, Klaus |
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| author_facet | Bamberg, Günter 1940- Röder, Klaus |
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| author_sort | Bamberg, Günter 1940- |
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| bvnumber | BV009951357 |
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| ctrlnum | (OCoLC)75527993 (DE-599)BVBBV009951357 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| geographic_facet | Deutschland |
| id | DE-604.BV009951357 |
| illustrated | Illustrated |
| indexdate | 2024-08-23T00:54:09Z |
| institution | BVB |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006593977 |
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| physical | 41 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Univ. Augsburg |
| record_format | marc |
| series | Arbeitspapiere zur mathematischen Wirtschaftsforschung |
| series2 | Arbeitspapiere zur mathematischen Wirtschaftsforschung |
| spelling | Bamberg, Günter 1940- Verfasser (DE-588)135677890 aut Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? Günter Bamberg ; Klaus Röder Augsburg Univ. Augsburg 1994 41 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Arbeitspapiere zur mathematischen Wirtschaftsforschung 120 Aktienindex-Futures (DE-588)4226192-2 gnd rswk-swf Arbitrage (DE-588)4002820-3 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Aktienindex-Futures (DE-588)4226192-2 s Arbitrage (DE-588)4002820-3 s DE-604 Deutschland (DE-588)4011882-4 g Röder, Klaus Verfasser aut Arbeitspapiere zur mathematischen Wirtschaftsforschung 120 (DE-604)BV000003229 120 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006593977&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bamberg, Günter 1940- Röder, Klaus Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? Arbeitspapiere zur mathematischen Wirtschaftsforschung Aktienindex-Futures (DE-588)4226192-2 gnd Arbitrage (DE-588)4002820-3 gnd |
| subject_GND | (DE-588)4226192-2 (DE-588)4002820-3 (DE-588)4011882-4 |
| title | Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? |
| title_auth | Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? |
| title_exact_search | Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? |
| title_full | Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? Günter Bamberg ; Klaus Röder |
| title_fullStr | Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? Günter Bamberg ; Klaus Röder |
| title_full_unstemmed | Seasonality in ex ante German Stock Index futures arbitrage where do arbitrage profits in Germany come from? Günter Bamberg ; Klaus Röder |
| title_short | Seasonality in ex ante German Stock Index futures arbitrage |
| title_sort | seasonality in ex ante german stock index futures arbitrage where do arbitrage profits in germany come from |
| title_sub | where do arbitrage profits in Germany come from? |
| topic | Aktienindex-Futures (DE-588)4226192-2 gnd Arbitrage (DE-588)4002820-3 gnd |
| topic_facet | Aktienindex-Futures Arbitrage Deutschland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006593977&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000003229 |
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