| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6143 |
| DP6143 Political Institutions and Economic Growth | |
| Thomas I Renström; Laura Marsiliani | |
| 发表日期 | 2007-02-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital. |
| 主题 | Financial Economics |
| 关键词 | Capital constraint Convertible bond frictions Hedge funds Limits of arbitrage Liquidity Merger arbitrage Risk management Valuation |
| URL | https://cepr.org/publications/dp6143 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534982 |
| 推荐引用方式 GB/T 7714 | Thomas I Renström,Laura Marsiliani. DP6143 Political Institutions and Economic Growth. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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