全球智库信息集成服务系统(G2TT): Limits of Arbitrage: The State of the Theory

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15821
来源ID	Working Paper 15821
	Limits of Arbitrage: The State of the Theory
	Denis Gromb; Dimitri Vayanos
发表日期	2010-03-18
出版年	2010
语种	英语
摘要	We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda emphasizing the role of financial institutions and agency frictions for asset prices. This research has the potential to explain so-called "market anomalies" and inform welfare and policy debates about asset markets. We begin with examples of demand shocks that generate mispricings, arguing that they can stem from behavioral or from institutional considerations. We next survey, and nest within a simple model, the following costs faced by arbitrageurs: (i) risk, both fundamental and non-fundamental, (ii) short-selling costs, (iii) leverage and margin constraints, and (iv) constraints on equity capital. We finally discuss implications for welfare and policy, and suggest directions for future research.
主题	Microeconomics ; Welfare and Collective Choice ; Economics of Information ; Financial Economics ; Financial Markets ; Financial Institutions
URL	https://www.nber.org/papers/w15821
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/573495
推荐引用方式 GB/T 7714	Denis Gromb,Dimitri Vayanos. Limits of Arbitrage: The State of the Theory. 2010.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w15821.pdf（224KB）	智库出版物		限制开放	CC BY-NC-SA	浏览