Abstract: We identify significantly positive pricing-parity deviations from a simulated portfolio that participates in opposite legs of under- and over-valued contracts in the CDS and LCDS markets for the same underlying firm, maturity, currency and restructure clauses. We confirm the potential trading profits by identifying realized profits from our portfolios for matured short term contracts. We formulate a market equilibrium model and empirically support its predictions that such profits are consistent with market power at one or both markets. These persistent deviations cannot be accounted for by limits to arbitrage factors such as transaction costs, recovery-rate uncertainty, liquidity and counterparty risk.
Speaker: Stylianos Perrakis, Professor of Finance at John Molson School of Business at Concordia University, Royal Bank of Canada (RBC) Distinguished Professor of Financial Derivatives. He was elected Fellow of the Royal Society of Canada in 2007. Prof. Perrakis’ primary research fields are economic regulation, financial engineering, option pricing and portfolio selection. He has publishedmany papers on the top-tier academic journals in economics and finance, includingThe American Economic Review, The Review of Economic Studies, The International Economic Review, Management Science, The Journal of Finance, The Journal of Business, The Review of Financial Studies, The Journal of Financial and Quantitative Analysis, The International Journal of Industrial Organization, etc.He published many books, including the book, entitled “Investment (Canadian Version)”, co-authored with Z. Bodie, E. Kane, A. Marcus and P. Ryan, which has already been updated to the 8thedition.
Time: November 13, 2014, Thursday, 15:30-17:00,
Place: Room 604, Academic Hall
Organizer: The Chinese Academy of Finance and Development
主讲人介绍：Stylianos Perrakis, 加拿大康考迪亚大学John Molson商学院金融学教授，加拿大皇家银行金融衍生物教授，并于2007年当选为加拿大皇家学院院士，美国加州大学伯克利分校工业工程与运筹学博士。Perrakis教授的研究领域主要在经济政策，金融工程，金融期权的定价和投资组合等方面，曾经在The American Economic Review, The Review of Economic Studies, The International Economic Review, Management Science, The Journal of Finance, The Journal of Business, The Review of Financial Studies, The Journal of Financial and Quantitative Analysis, The International Journal of Industrial Organization等国际顶级金融经济类期刊发表论文。并著有多部书籍，其中和Z. Bodie, E. Kane, A. Marcus and P. Ryan合著的Investments（Canadian Version）已经更新到第八版。
时间：2014年11月13日 星期四15:30-17:00
