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2 edition of Feedback effects and the limits to arbitrage found in the catalog.

Feedback effects and the limits to arbitrage

Alex Edmans

Feedback effects and the limits to arbitrage

by Alex Edmans

  • 116 Want to read
  • 7 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Edition Notes

StatementAlex Edmans, Itay Goldstein, Wei Jiang
SeriesNBER working paper series -- working paper 17582, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17582.
ContributionsGoldstein, Itay, Jiang, Wei, National Bureau of Economic Research
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL25173166M
LC Control Number2011657482

  Our finding is also relevant to the limits-to-arbitrage. Gu et al. () show that the negative idiosyncratic volatility effect is mainly due to limits-to-arbitrage in the Chinese stock market. We find that the negative idiosyncratic volatility effect only exists in the stocks with high modified MAX. What is limits to arbitrage? Arbitrage means simultaneously buying and selling an asset to profit from a difference in its theory of limits to arbitrage says that these prices may stay in an unbalanced state for a significant period of time due to restrictions on so-called rational traders.

simplified versions of articles based on the following books: Mas-Collel, Whinston, and Green (), Microeconomic Theory, Oxford Goldstein, and W. Jiang, , “Feedback effects and the limits to arbitrage,” American Economic Review , Goldstein, I., and A. Guembel, , “Manipulation and the allocational role of.   A Cautionary Tale of Profitability Anomalies and Limits to Arbitrage, SSRN Electronic Journal, /ssrn DAVID HIRSHLEIFER, LIANG MA, The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies, The Journal of Finance, /jofi Positive Feedback Trading and Stock Prices: Evidence from Mutual Funds, SSRN.

Abstract. We document the existence of a strategy designed to circumvent limits to arbitrage. Faced with short-sale constraints and noise trader risk, small arbitrageurs publicly reveal their information to induce the target’s shareholders (“the longs”) to sell, thereby accelerating price discovery. The Limits to Arbitrage and the Low-Volatility Anomaly Xi Li, Rodney N. Sullivan, CFA, and Luis Garcia-Feijóo, CFA, CIPM The authors found that over –, the existence and trading efficacy of the low-volatility stock anomaly were more limited than widely believed. For example, they found no anomalous returns for equal-weighted.


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Feedback effects and the limits to arbitrage by Alex Edmans Download PDF EPUB FB2

Feedback Effects and the Limits to Arbitrage Alex Edmans, Itay Goldstein, Wei Jiang. NBER Working Paper No.

Issued in November NBER Program(s):Asset Pricing, Corporate Finance. This paper identifies a limit to arbitrage that arises from the fact that a firm's fundamental value is endogenous to the act of exploiting the arbitrage. (PDF) Feedback effects and the limits to arbitrage | Alex Edmans - ABSTRACT This paper identifies a limit to arbitrage that arises from the fact that a firm's fundamental value is endogenous to the act of exploiting the arbitrage.

Trading on private information reveals this information to managers and helps them. decisions, enhancing fundamental value. This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news.

This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information. Thus, bad news is incorpo-Cited by: Feedback Effects and the Limits to Arbitrage. Alex Edmans, Itay Goldstein, Wei Jiang.

NBER Working Paper No. Issued in November Books Recent Books Earlier Books (by decade) Browse books by Series Chapters from Books In Process Free Publications Bulletin on Retirement and Disability Cited by: Feedback Effects and the Limits to Arbitrage Article   in   SSRN Electronic Journal   June   with  59 Reads  How we measure 'reads' A 'read' is counted each time someone views a publication.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper identifies a limit to arbitrage that arises from the fact that a firm’s fundamental value is endogenous to the act of exploiting the arbitrage opportunity.

Trading on private information reveals this information to managers and helps them improve their real decisions, in turn enhancing fundamental value. This paper identifies a limit to arbitrage that arises because firm value is endogenous to the exploitation of arbitrage.

Trading on private information reveals this information to managers and improves their real decisions, enhancing fundamental value. While this feedback effect increases the profitability of buying on good news, it reduces the profitability of selling on bad news.

This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news.

This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information.

Thus, bad news is incorporated more slowly into prices than good news, potentially leading to overinvestment. Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage American Economic Review, Forthcoming, AFA San Diego Meetings Paper, European Corporate Governance Institute (ECGI) - Finance Working Paper No.

/Cited by:   We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny () and the q-theory with investment frictions proposed by Li and Zhang () on the negative relation between asset growth and average stock returns.

We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits.

Feedback Effects and the Limits to Arbitrage This paper identifies a limit to arbitrage that arises from the fact that a firm's fundamental value is endogenous to the act of exploiting the arbitrage.

Trading on private information reveals this information to managers and helps them improve their real decisions, in turn enhancing fundamental value. Limits to Arbitrage: An introduction to Behavioral Finance and a Literature Review Miguel Herschberg AbstrAct This paper is a survey of the developments in the literature of the Limits to Arbitrage.

We investigate why investors, even if they know that an asset is not priced correctly, may not be able to profit from an arbitrage opportunity. This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news.

This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information. Thus, bad news is incorporated more slowly into prices than good news. Get this from a library.

Feedback effects and the limits to arbitrage. [Alex Edmans; Itay Goldstein; Wei Jiang; National Bureau of Economic Research.] -- This paper identifies a limit to arbitrage that arises from the fact that a firm's fundamental value is endogenous to the act of exploiting the arbitrage.

Feedback Effects and the Limits to Arbitrage. By Alex Edmans, Itay Goldstein and Wei Jiang. Cite. BibTex; Full citation; Abstract. This paper identifies a limit to arbitrage that arises from the fact that a firm’s fundamental value is endogenous to the act of exploiting the arbitrage opportunity.

This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news. This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative by: decisions, enhancing fundamental value.

This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news. This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information.

Thus, bad news is incorpo. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper identifies a limit to arbitrage that arises because firm value is endogenous to the exploitation of arbitrage.

Trading on private information reveals this information to managers and improves their real decisions, enhancing fundamental value.

While this feedback effect increases the profitability of a long. that NAT predicts return beyond a quarter suggests that arbitrage trading does not eliminate mispricing completely and instantaneously, consistent with the existence of limits to arbitrage (Shleifer and Vishny ).

Our third set of results describes two channels through which mispricing is eliminated and arbitrage profit is realized. The Limits of Arbitrage ANDREI SHLEIFER and ROBERT W. VISHNY* ABSTRACT Textbook arbitrage in financial markets requires no capital and entails no risk.

In reality, almost all arbitrage requires capital, and is typically risky. Moreover, pro- fessional arbitrage is conducted by a relatively small number of highly specialized. Feedback Effects and the Limits to Arbitrage. By Alex Edmans, Itay Goldstein and Wei Jiang.

Download PDF ( KB) Abstract. This paper identifies a limit to arbitrage that arises from the fact that a firm's fundamental value is endogenous to the act of exploiting the arbitrage.Feedback E⁄ects and the Limits to Arbitrage Alex Edmans Wharton and NBER Itay Goldstein Wharton Wei Jiang Columbia May 1, Abstract This paper identi–es a limit to arbitrage that arises from the fact that a –rm™s funda-mental value is endogenous to the act of exploiting the arbitrage .In particular, the feedback effect contributes to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information, and so bad news is .