The Limits of Arbitrage
نویسندگان
چکیده
منابع مشابه
The Limits of Arbitrage
Textbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital, and is typically risky. Moreover, professional arbitrage is conducted by a relatively small number of highly specialized investors using other people's capital. Such professional arbitrage has a number of interesting implications for security pricing, including the...
متن کاملLimits of Arbitrage: The State of the Theory
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda emphasizing the role of financial institutions and agency frictions for asset prices. This research...
متن کاملEarnings Announcement Premia and the Limits to Arbitrage
We reexamine the existence of earnings announcement-day premia and find that they persist beyond the sample period of earlier studies, over different disclosure environments and remain robust to the refinement of using the expected announcement day rather than the actual announcement day. We provide evidence that the premia are reduced in the presence of earnings pre-announcements. We document ...
متن کاملThe Limits of Arbitrage: Evidence from Fundamental Value-to-Price Trading Strategies
Shleifer and Vishny (1997) argue that arbitrage can be both costly and risky. As a result, arbitrageurs will not exploit arbitrage opportunities if the costs and risk of arbitrage exceed its benefits, thereby allowing mispricing to survive for long periods of time. Frankel and Lee (1998) document that the fundamental value-to-price (Vf/P) ratio predicts future abnormal returns for up to three y...
متن کاملthe effect of taftan pozzolan on the compressive strength of concrete in the environmental conditions of oman sea (chabahar port)
cement is an essential ingredient in the concrete buildings. for production of cement considerable amount of fossil fuel and electrical energy is consumed. on the other hand for generating one tone of portland cement, nearly one ton of carbon dioxide is released. it shows that 7 percent of the total released carbon dioxide in the world relates to the cement industry. considering ecological issu...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1997
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1997.tb03807.x