Kazuhiro Hiraki

Bank of Japan

2-1-1, Nihonbashi-hongokucho

Chuo-ku, Tokyo 103-0021

Japan

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

The Contribution of Frictions to Expected Returns: An Options-based Estimation Approach

Number of pages: 68 Posted: 11 Feb 2018 Last Revised: 16 Feb 2021
Bank of Japan and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
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Citation 2

Abstract:

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Limits to arbitrage, Market frictions, Put-call parity, Return predictability