Can investor profit from the daily timing strategy
نویسنده
چکیده
منابع مشابه
Optimal Derivative Strategies with Discrete Rebalancing
Optimal asset allocation strategies are often derived in continuous time models, but have to be implemented in discrete time. It has been shown that in models with stochastic volatility or jumps, an investor who just uses the continuous time strategy in discrete time has to trade at least daily to profit from having access to derivatives. In this paper, we determine the optimal investment strat...
متن کاملQuality of care in investor-owned vs not-for-profit HMOs.
CONTEXT The proportion of health maintenance organization (HMO) members enrolled in investor-owned plans has increased sharply, yet little is known about the quality of these plans compared with not-for-profit HMOs. OBJECTIVE To compare quality-of-care measures for investor-owned and not-for-profit HMOs. DESIGN, SETTING, AND PARTICIPANTS Analysis of the Health Plan Employer Data and Informa...
متن کاملIncome Smoothing, Investor Reaction and Earnings Persistence
The main objective of this study was to investigate the effect of income smoothing on investors reaction to Earnings Persistence of companies listed on the Stock Exchange in Tehran. The population of the study was companies listed on the Stock Exchange in Tehran, the sample size due to screening method and after removing outliers is equal to 118 companies. In this study, earnings persistence an...
متن کاملTesting Efficiency of an Arbitrage in Foreign Exchange Market (Forex): Simultaneous Ordering of Three Major Currency Pairs
In searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, EUR-USD, USD-JPY, and EUR-JPY. There are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. Historical daily FX rates were gathered since January 1990 until February 2011. Monthly covariances between daily growth rat...
متن کاملWhy are tax-exempt bonds issued at a premium?*
I derive the optimal timing strategy for an investor taking tax gains and losses on tax-exempt bonds (up to a 7% gain over buy-and-hold). I then derive the issuer’s optimal coupon rate, which maximizes the tax benefit for a tax-timing investor (up to a 3.5% gain over issuing at par, potentially more than the cost of issuance itself). All these gains are transfers from the U.S. Treasury to local...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010