| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19834 |
| 来源ID | Working Paper 19834 |
| How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation | |
| Alexander Ljungqvist; Wenlan Qian | |
| 发表日期 | 2014-01-23 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Limits to arbitrage play a central role in behavioral finance. They are thought to interfere with arbitrage processes so that security prices can deviate from true values for extended periods of time. We describe a recent financial innovation that allows limits to arbitrage to be sidestepped, and overvaluation thereby to be corrected, even in settings characterized by extreme costs of information discovery and severe short-sale constraints. We report evidence of shallow-pocketed "arbitrageurs" expending considerable resources to identify overvalued companies and profitably correcting overpricing. The innovation that allows the arbitrageurs to sidestep limits to arbitrage involves credibly revealing their information to the market, in an effort to induce long investors to sell so that prices fall. This simple but apparently effective way around the limits suggests that limits to arbitrage may not always be as constraining as sometimes assumed. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w19834 |
| 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/577509 |
| 推荐引用方式 GB/T 7714 | Alexander Ljungqvist,Wenlan Qian. How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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