کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10475962 929455 2005 43 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage
چکیده انگلیسی
I develop a framework to analyze demand curves for multiple risky securities at extended horizons in a setting with limits-to-arbitrage. Following an unexpected change in uninformed investor demand for several assets, I predict returns of each security to be proportional to the contribution of that security's demand shock to the risk of a diversified arbitrage portfolio. I show that securities that are not affected by demand shocks but are correlated with securities undergoing changes in demand should experience returns related to their hedging role in arbitrageurs' portfolios. Finally, I predict a negative cross-sectional relation between post-event returns and the initial return associated with the change in demand. I confirm these predictions using data from a unique redefinition of the Nikkei 225 index in Japan, in which 255 stocks simultaneously undergo significant changes in index investor demand, causing more than ¥2,000 billion of trading in one week and large price changes followed by subsequent reversals for all of the reweighted stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 75, Issue 3, March 2005, Pages 607-649
نویسندگان
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