全球智库信息集成服务系统(G2TT): DP7223 On the (Sequential) Majority Choice of Public Good Size and Location

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7223
	DP7223 On the (Sequential) Majority Choice of Public Good Size and Location
	Philippe De Donder; Michel Le Breton; Eugenio Peluso
发表日期	2009-03-15
出版年	2009
语种	英语
摘要	We present a model where arbitrageurs operate on an asset market that can be hit by information shocks. Before entering the market, arbitrageurs are allowed to optimize their capital structure, in order to take advantage of potential underpricing. We find that, at equilibrium, some arbitrageurs always receive funding, even in low information environments. Other arbitrageurs only receive funding in high information environments. The model makes two easily testable predictions: first, arbitrageurs with stable funding should experience more mean-reversion in returns, in particular following low performance. Second, this larger mean-reversion should be lower, if many other funds have stable fundings. We test these predictions on a sample of hedge funds, some of which impose impediments to withdrawal to their investors.
主题	Financial Economics
关键词	Arbitrageur Capital structure
URL	https://cepr.org/publications/dp7223
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/536058
推荐引用方式 GB/T 7714	Philippe De Donder,Michel Le Breton,Eugenio Peluso. DP7223 On the (Sequential) Majority Choice of Public Good Size and Location. 2009.