Discussion paper DP15235 Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain Joel PERESS Xi Dong NAMHO KANG 31 Aug 2020 Pricing anomalies Market efficiency Return persistence and cyclicality/seasonality Mutual funds Hedge funds Slow-moving capital Transaction costs Limits to arbitrage Spectral analysis Financial Economics
Discussion paper DP14232 Global Market Inefficiencies Söhnke Bartram Mark Grinblatt 22 Dec 2019 International finance Valuation Asset pricing Market efficiency Fundamental analysis Point-in-time (pit) Transaction costs Principal components Instrumented principal components analy-sis (ipca) Financial Economics G11 G14 G15
Discussion paper DP13062 A Coasian Model of International Production Chains Thibault Fally 19 Jul 2018 Fragmentation of production Transaction costs Trade in intermediate goods Boundary of the firm International Trade and Regional Economics F10 L23
Discussion paper DP12737 Liquidity Regimes and Optimal Dynamic Asset Allocation Pierre collin-dufresne 19 Feb 2018 Dynamic portfolio choice Transaction costs stochastic volatility Price impact Risk-parity Mean-variance Financial Economics D53 G11 G12
Discussion paper DP12453 The making of a national currency. Spatial transaction costs and money market integration in Spain (1825-1874) Pilar Nogues-Marco Alfonso Herranz-Loncán Nektarios Aslanidis 21 Nov 2017 Money market integration Spanish national currency Specie-point mechanism Bills of exchange Money market convergence Money market efficiency Transaction costs Financial development Economic History E02 E42 F02 F15 F31 F36 K00 L10 N13 N73 R40
Discussion paper DP12417 A Portfolio Perspective on the Multitude of Firm Characteristics Victor DeMiguel Alberto Martin-Utrera 1 Nov 2017 Anomalies Transaction costs Out of sample performance Risk Financial Economics G11
Discussion paper DP11632 Optimal Ownership of Public Goods in the Presence of Transaction Costs Patrick W. Schmitz Daniel Müller 13 Nov 2016 Transaction costs Public goods Property rights Bargaining Incomplete contracts Industrial Organization D23 D86 C78 H41 L31
Discussion paper DP11276 The Negotiators Who Knew Too Much: Transaction Costs and Incomplete Information Patrick W. Schmitz 14 May 2016 Transaction costs Property rights Bargaining Incomplete information Joint ownership Industrial Organization D23 D86 C78 L14 L24
VoxEU Column When institutions are bad, how much do social networks really help? Ulrik Beck Benedikte Bjerge Marcel Fafchamps 6 Feb 2016 Development Frontiers of economic research poor institutions Social ties Transaction costs Efficiency efficiency-exchanging transfers
Discussion paper DP11019 Early Option Exercise: Never Say Never Lasse Heje Pedersen 20 Dec 2015 Convertible bonds Derivatives pricing frictions Option exercise Short-sale costs Transaction costs Financial Economics G11 G12 G13 G14
Discussion paper DP10804 Size and Momentum Profitability in International Stock Markets Alexander F. Wagner Paul Schrimpf 6 Sep 2015 International equity markets Momentum Size Asset pricing anomalies Transaction costs Financial Economics C89 G12 G15
Discussion paper DP10437 Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets Grigory Vilkov Adrian Buss 22 Feb 2015 Portfolio choice Alternative assets Private equity Incomplete markets Heterogeneous beliefs Transaction costs Financial Economics G11 G12
