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The growth and limits of arbitrage : evidence from short interest

We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted in lower strategy returns. However, consistent with theories of limited arbitrage, we show that strategy-level capital flows are influenced by past strategy returns and strategy return volatility and that arbitrage capital is most limited during times when strategies perform best. This suggests that the growth of arbitrage capital may not completely eliminate returns to these strategies. .Printed Journal, baca ditempat

Ketersediaan

Call NumberLocationAvailable
TRFS2704PSB lt.dasar - Pascasarjana1
Penerbit The Society of Financial Studies.,
Edisi -
Subjek Pension funds
Asset pricing
Trading volume
Event studies
Other private financial institutions
Bond interest rates
Information and market efficiency
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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