| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w4314
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| 来源ID | Working Paper 4314
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| Arbitrage Chains |
| James Dow; Gary Gorton
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| 发表日期 | 1993-04-01
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| 出版年 | 1993
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| 语种 | 英语
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| 摘要 | In efficient markets the price should reflect the arrival of private information. The mechanism by which this is accomplished is arbitrage. A privately informed trader will engage in costly arbitrage, that is, trade on his knowledge that the price of an asset is different from the fundamental value if: (1) his order does not move the price immediately to reflect the information; (2) he can hold the asset until the date when the information is reflected in the price. We study a general equilibrium model in which all agents optimize. In each period, there may be a trader with a limited horizon who has private information about a distant event. Whether he acts on his information, and whether subsequent informed traders act, is shown to depend on the possibility of a sequence or chain of future informed traders spanning the event date. An arbitrageur who receives good news will buy only if it is likely that, at the end of his trading horizon, a subsequent arbitrageur's buying will have pushed up the expected price. We show that limited trading horizons result in inefficient prices because informed traders do not act on their information until the event date is sufficiently close. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w4314
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561678
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推荐引用方式
GB/T 7714 |
James Dow,Gary Gorton. Arbitrage Chains. 1993.
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文件名：
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w4314.pdf
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格式：
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Adobe PDF
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