market efficiencypost-earnings announcement driftanomaliesPrior research has documented that arbitrage activity significantly reduces or eliminates stock market anomalies. However, if anomalies arise due to unsophisticated investors' behavioral biases, then these same biases can also apply to unsophisticated ...
We propose a novel measure of the amount of arbitrage capital allocated to the momentum strategy to test whether arbitrageurs can have a destabilizing e¤ect in the stock market. Our measure, which we dub comomentum, aims to capture the ... D Lou,C Polk - 《Ssrn Electronic Journal》 被...
We model a timing game of bubbles and crashes a la Abreu and Brunnermeier (2003), in which arbitrageurs compete with each other to beat the gun in a stock market. However, unlike Abreu and Brunnermeier, instead of assuming sequential awareness,the present paper assumes that with a small proba...
We examine the Japanese stock market response to additions to the Nikkei 225 Index from 1991 to 2002. Similar to the reactions in the U.S. markets, the stock prices of the added firms go up on the announcement date, continue to increase until the day before the effective change date, and...
The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique ...
Consistent with multinational arbitrage as a determinant of foreign direct investment (FDI) patterns, we find that FDI flows increase sharply with source-country stock market valuations--particularly the component of valuations that is predicted to revert the next year, and particularly in the presence...
The purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5–8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties...
We model a stock market as a timing game, in which arbitrageurs compete to react quickest. We show that rational arbitrageurs are willing to ride the bubble for a long period. We also characterize symmetric Nash equilibria and show the sufficient condition for uniqueness. 展开 关键词: bubbles ...
We model a stock market as a timing game, in which arbitrageurs compete to react quickest. We show that rational arbitrageurs are willing to ride the bubble for a long period. We also characterize symmetric Nash equilibria and show the sufficient condition for uniqueness....
The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique ...