NDLI: Information Exchange and the Limits of Arbitrage

Content Provider	Semantic Scholar
Author	Gray, Wesley
Copyright Year	2008
Abstract	Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that arbitragers will exchange ideas in markets where arbitragers are capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances.
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://mpra.ub.uni-muenchen.de/11918/1/MPRA_paper_11918.pdf
Alternate Webpage(s)	https://mpra.ub.uni-muenchen.de/12621/1/MPRA_paper_12621.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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