G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7223
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
URLhttps://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.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Philippe De Donder]的文章
[Michel Le Breton]的文章
[Eugenio Peluso]的文章
百度学术
百度学术中相似的文章
[Philippe De Donder]的文章
[Michel Le Breton]的文章
[Eugenio Peluso]的文章
必应学术
必应学术中相似的文章
[Philippe De Donder]的文章
[Michel Le Breton]的文章
[Eugenio Peluso]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。