| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15235 |
| DP15235 Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain | |
| Joel PERESS; Xi Dong; NAMHO KANG | |
| 发表日期 | 2020-08-31 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Using spectral analysis, we document that hedge fund and mutual fund flows explain much of the persistence and cyclicality of anomaly returns. Indeed, they correct and amplify mispricing slowly, 24 and 4 times more, respectively, over horizons longer than one year compared with shorter horizons . Passive fund flows, in contrast, have no effect on mispricing. Over long horizons, hedge fund flows are most influential among fund types on a per-dollar basis . Hedge fund managers, rather than investors, helm this “slow-moving” effect, and frictions explain their behavior. We propose a model highlighting the horizon-dependent effects of capital on market efficiency. |
| 主题 | Financial Economics |
| 关键词 | Pricing anomalies Market efficiency Return persistence and cyclicality/seasonality Mutual funds Hedge funds Slow-moving capital Transaction costs Limits to arbitrage Spectral analysis |
| URL | https://cepr.org/publications/dp15235 |
| 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/544210 |
| 推荐引用方式 GB/T 7714 | Joel PERESS,Xi Dong,NAMHO KANG. DP15235 Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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