کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10475808 929407 2014 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Overcoming limits of arbitrage: Theory and evidence
ترجمه فارسی عنوان
غلبه بر محدودیت های داوری: نظریه و شواهد
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی
Limits to arbitrage arise because financial intermediaries may face funding constraints when mispricing worsens. Using a model with limits to arbitrage, where we allow arbitrageurs to secure capital even in case of underperformance, we show that arbitrageurs that are more protected from withdrawals have more mean-reverting and volatile returns. Using data on hedge fund performance, we find robust support for these hypotheses: Funds with contractual impediments to withdrawals, and funds with performance-insensitive outflows, recover more quickly after a bad year and have more volatile returns. Our evidence is consistent with the idea that some hedge funds overcome the limits to arbitrage.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 111, Issue 1, January 2014, Pages 26-44
نویسندگان
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