Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage
نویسندگان
چکیده
منابع مشابه
The Limits of Arbitrage: Evidence from Fundamental Value-to-Price Trading Strategies
Shleifer and Vishny (1997) argue that arbitrage can be both costly and risky. As a result, arbitrageurs will not exploit arbitrage opportunities if the costs and risk of arbitrage exceed its benefits, thereby allowing mispricing to survive for long periods of time. Frankel and Lee (1998) document that the fundamental value-to-price (Vf/P) ratio predicts future abnormal returns for up to three y...
متن کاملThe Limits of Arbitrage
Textbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital, and is typically risky. Moreover, professional arbitrage is conducted by a relatively small number of highly specialized investors using other people's capital. Such professional arbitrage has a number of interesting implications for security pricing, including the...
متن کاملthe differential effects of debate and media analysis as relate to enhancing efl learners critical thinking ability and writing performances
critical thinking ability has an important role in education. accordingly, scholars around the world are searching for new ways for teaching and improving students critical thinking ability. in line with the studies in efl contexts supporting the positive relationship between critical thinking and writing performances, this study investigated the differential effects of halverson’s critical thi...
15 صفحه اولRisk in Dynamic Arbitrage: Price Effects of Convergence Trading∗
This paper studies the adverse price effects of convergence trading. I assume two assets with identical cash flows traded in segmented markets. Initially, there is gap between the prices of the assets, because local traders face asymmetric temporary shocks. In the absence of arbitrageurs, the gap remains constant until a random time when the difference across local markets disappears. While arb...
متن کاملEarnings Announcement Premia and the Limits to Arbitrage
We reexamine the existence of earnings announcement-day premia and find that they persist beyond the sample period of earlier studies, over different disclosure environments and remain robust to the refinement of using the expected announcement day rather than the actual announcement day. We provide evidence that the premia are reduced in the presence of earnings pre-announcements. We document ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: American Economic Review
سال: 2015
ISSN: 0002-8282
DOI: 10.1257/aer.20141271