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Results for “quarter-end” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 2 · desk corpus 1
arXiv · arXiv q-fin · 2026
This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical benchmark for daily regressions comparable to standard factor models in asset pricing. Using G10 plus KRW currency-tenor panels, I show that three lagged public state variables-NFCI, the nominal broad U.S. dollar index, and the Treasury 10-yea…
Useong Shin
arXiv · arXiv q-fin · 2022
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number of variations in holdings between consecutive reporting periods, and compute imbalances in buying versus selling behaviour for the assets under consideration. A significant opportunity for profit arises if an external investor is willing t…
Deborah Miori, Mihai Cucuringu
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