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مقاله انگلیسی ۲۰۱۸ – The Dynamics of Financially Constrained Arbitrage

مقاله

مقاله انگلیسی ۲۰۱۸ The Dynamics of Financially Constrained Arbitrage

مقاله انگلیسی ۲۰۱۸ :

ABSTRACT

We develop a model in which financially constrained arbitrageurs exploit price discrepancies
across segmented markets. We show that the dynamics of arbitrage capital are self-correcting:
following a shock that depletes capital, returns increase, which allows capital to be gradually
replenished. Spreads increase more for trades with volatile fundamentals or more time to convergence.
Arbitrageurs cut their positions more in those trades, except when volatility concerns
the hedgeable component. Financial constraints yield a positive cross-sectional relationship between
spreads/returns and betas with respect to arbitrage capital. Diversification of arbitrageurs
.across markets induces contagion, but generally lowers arbitrageurs’ risk and price volatility.

Keywords: Arbitrage, financial constraints, market segmentation, liquidity, contagion

دانلود مستقیم مقاله ۲۰۱۸

رشته: حسابداری، مقطع: کارشناسی ارشد مناسب جهت استفاده در پایان نامه

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