| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP6082
|
| DP6082 Procurement when Price and Quality Matter |
| Estelle Cantillon; John Asker
|
| 发表日期 | 2007-02-14
|
| 出版年 | 2007
|
| 语种 | 英语
|
| 摘要 | We develop a framework to explore the asset pricing implications of simultaneous supply shocks in multiple assets in a setting with limits-to-arbitrage. The portfolio approach in Greenwood (2005) is generalized to allow for asymmetric information and therefore net positions of arbitrageurs against uninformed liquidity providers. We predict that announcement returns are not only positively proportional to the asset premium change of each stock (like in Greenwood), but also negatively proportional to the risk contribution of the arbitrage position captured by the product of the squared return covariance matrix and the vector of supply changes. The redefinition of the MSCI international equity index in 2001 and 2002 provides a powerful event study to test these predictions. We find strong evidence in favour of our generalized model of limited arbitrage. Moreover, asset pricing effects of weight changes across stocks are quantitatively similar for domestic and foreign stocks. MSCI stocks are therefore priced globally and not locally. |
| 主题 | Financial Economics
|
| 关键词 | Index revisions
International equity arbitrage
Portfolio theory
|
| URL | https://cepr.org/publications/dp6082
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534921
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推荐引用方式
GB/T 7714 |
Estelle Cantillon,John Asker. DP6082 Procurement when Price and Quality Matter. 2007.
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