G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15235
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
URLhttps://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.
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