Mispricing Between Identical Assets

Name: Mispricing Between Identical Assets
Brand: VDM Verlag
SKU: 9783639376814
Price: 253.9 RON
Availability: InStock

The Price Differential between Identical Assets Trading in Different Markets- A Case Study of Mondi Holdings

Autor: Akios Majoni

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Editura: VDM Verlag

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This study investigates the possible explanatory factors behind the mispricing in dual traded assets...

Informații despre carte

Autor

Akios Majoni

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2011

Pagini

EAN

9783639376814

ISBN

3639376811

Enbook ID

06844266

Editura

VDM Verlag

Greutate

127

Dimensiuni

152 x 229 x 5

Descriere completă

This study investigates the possible explanatory factors behind the mispricing in dual traded assets using Mondi Holdings as a case study. The study documents the existence of substantial mispricing, averaging 9%, between the Mondi twins. The results indicate that regulatory controls were significant in sustaining a larger part of the price deviations. Evidence of excess co-movements is also observed as a key driver of the mispricing, an indication that share prices are to some extent influenced by market sentiment and behavioural biases in markets in which they trade. It also appears as if any mispricing caused by excess co-movement cannot be arbitraged away due to lack of fungibility of the scrip. The paper does not find enough evidence to support the effects of transactions costs and fundamental/ twin specific variables. This analysis will be of great value to academics, investments analysts and professionals in the asset management industry as they seek to understand the subject. Active portfolio managers and arbitrageurs will make informed decisions given a good understanding of the drivers of the mispricings.

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Mispricing Between Identical Assets

The Price Differential between Identical Assets Trading in Different Markets- A Case Study of Mondi Holdings

Informații despre carte

Descriere completă

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