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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. |
条目包含的文件 | 条目无相关文件。 |
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