Synchronization risk and delayed arbitrage

被引：177

作者：

Abreu, D ^{[1
]}

Brunnermeier, MK ^{[1
]}

机构：

[1] Princeton Univ, Dept Econ, Bendheim Ctr Finance, Princeton, NJ 08544 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2002年 / 66卷 / 2-3期

关键词：

limits to arbitrage; synchronization risk; market timing; efficient markets hypothesis; behavioral finance;

D O I：

10.1016/S0304-405X(02)00227-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk-which is distinct from noise trader risk and fundamental risk-arises in our model because arbitrageurs become sequentially aware of mispricing and they incur holding costs. We show that rational arbitrageurs "time the market" rather than correct mispricing right away. This leads to delayed arbitrage. The analysis suggests that behavioral influences on prices are resistant to arbitrage in the short and intermediate run. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：341 / 360

页数：20

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