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 ...
Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting positions as a function of wealth. In our model, arbitrage activity benefits all investors because arbitrageurs supply liquidity to the market. However, arbitrageurs might fail to...
arbitrageur- someone who engages in arbitrage (who purchases securities in one market for immediate resale in another in the hope of profiting from the price differential) arb,arbitrager businessman,man of affairs- a person engaged in commercial or industrial business (especially an owner or executiv...
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 ...
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....
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 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 ...
Similar research made in the U.S. and European markets have observed the effects of index on market responses in temporary stocks that is taken advantaged by businessmen. Results show almost the same effect on the Japanese stock market and researchers are trying to quantity the effect....
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...doi:10.1007/978-4-431-55501-8_22Katsuhiko Okada...
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, ...