| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9917 |
| DP9917 Feedback Effects and the Limits to Arbitrage | |
| Itay Goldstein; Alex Edmans; Wei Jiang | |
| 发表日期 | 2014-03-23 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper identifies a limit to arbitrage that arises because firm value is endogenous to the exploitation of arbitrage. Trading on private information reveals this information to managers and improves their real decisions, enhancing fundamental value. While this feedback effect increases the profitability of buying on good news, it reduces the profitability of selling on bad news. Thus, investors may refrain from trading on negative information, and so bad news is incorporated more slowly into prices than good news. This has potentially important real consequences -- if negative information is not incorporated into prices, inefficient projects are not canceled, leading to overinvestment. |
| 主题 | Financial Economics |
| 关键词 | Feedback effect Limits to arbitrage Overinvestment |
| URL | https://cepr.org/publications/dp9917 |
| 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/538751 |
| 推荐引用方式 GB/T 7714 | Itay Goldstein,Alex Edmans,Wei Jiang. DP9917 Feedback Effects and the Limits to Arbitrage. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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