Slow Moving Capital
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Slow Moving Capital
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Author : Mark Mitchell
language : en
Publisher:
Release Date : 2007
Slow Moving Capital written by Mark Mitchell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Arbitrage categories.
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.
Slow Moving Capital
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Author : Mark L. Mitchell
language : en
Publisher:
Release Date : 2010
Slow Moving Capital written by Mark L. Mitchell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
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.
A Theory Of Slow Moving Capital And Contagion
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Author : Viral V. Acharya
language : en
Publisher:
Release Date : 2009
A Theory Of Slow Moving Capital And Contagion written by Viral V. Acharya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Capital categories.
Slow Moving Capital
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Author :
language : en
Publisher:
Release Date : 2007
Slow Moving Capital written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Slow Moving Capital And Stock Returns
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Author : Sergey Isaenko
language : en
Publisher:
Release Date : 2019
Slow Moving Capital And Stock Returns written by Sergey Isaenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper studies the effects that delays in capital allocations in the stock market and high short-term trading incentives have on returns of this market. We report that capital inertia makes the Sharpe ratio and the volatility of the stock returns many times higher than in an economy with no capital delays. Furthermore, in agreement with empirical literature, the stock price displays short-term overreaction and high volatility of the conditional Sharpe ratio.
Trading Fees And Slow Moving Capital
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Author : Adrian Buss
language : en
Publisher:
Release Date : 2015
Trading Fees And Slow Moving Capital written by Adrian Buss and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Capital investments categories.
In some situations, investment capital seems to move slowly towards profitable trades. We develop a model of a financial market in which capital moves slowly simply because there is a proportional cost to moving capital. We incorporate trading fees in an infinite-horizon dynamic general-equilibrium model in which investors optimally and endogenously decide when and how much to trade. We determine the steady-state equilibrium no-trade zone, study the dynamics of equilibrium trades and prices and compare, for the same shocks, the impulse responses of this model to those of a model in which trading is infrequent because of investor inattention.
Stock Price Crashes Role Of Slow Moving Capital
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Author : Mila Getmansky
language : en
Publisher:
Release Date : 2018
Stock Price Crashes Role Of Slow Moving Capital written by Mila Getmansky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who carry little inventory overnight are the primary intermediaries in both spot and futures markets, and changes in futures prices Granger-cause changes in spot prices. However, during two days of fast crashes, Granger-causality ran both ways. Both crashes were due to large-scale selling by foreign institutional investors in the spot market. Buying by short-term traders and cross-market traders was insufficient to stop the crashes. Mutual funds, patient traders with better trade-execution quality who were initially slow to move in, eventually bought sufficient quantities leading to price recovery in both markets. Our findings suggest that market stability requires the presence of well-capitalized standby liquidity providers.
Entry And Slow Moving Capital
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Author : Paymon Khorrami
language : en
Publisher:
Release Date : 2018
Entry And Slow Moving Capital written by Paymon Khorrami and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Risk concentration is a major outstanding explanation for crisis dynamics of asset prices and macroeconomic quantities. Apparently, capital flows are slow to correct these crises. By considering costly entry in a canonical limited participation model, I illustrate how asset prices encode costs of risk concentration. These costs must be enormous to match risk premia levels and variability. This finding is robust: auxiliary features that increase risk premia levels mitigate their dynamics, through endogenous entry. In short, either entry costs are large, or limited risk-sharing arises for other reasons. One appealing possibility is extrapolative expectations, which complements entry well.
Reputation Concerns And Slow Moving Capital
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Author : Steven G. Malliaris
language : en
Publisher:
Release Date : 2020
Reputation Concerns And Slow Moving Capital written by Steven G. Malliaris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
We analyze fund managers' reputation concerns in an equilibrium model, tying together a number of seemingly unrelated phenomena. The model implies that, due to reputation concerns, hedge fund managers -- especially those with average reputation levels -- prefer strategies with negatively skewed return distributions. One subtle consequence of this preference is that capital sometimes appears slow moving, leaving profitable investment opportunities unexploited, yet other times appears fast moving, causing large capital relocation and price fluctuations in the absence of fundamental news. More broadly, the analysis demonstrates a limitation of market discipline: fund managers may distort their investments precisely because of market discipline.
Adverse Selection Slow Moving Capital And Misallocation
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Author : William Fuchs
language : en
Publisher:
Release Date : 2015
Adverse Selection Slow Moving Capital And Misallocation written by William Fuchs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We embed adverse selection into a dynamic, general equilibrium model with heterogeneous capital and study its implications for aggregate dynamics. The friction leads to delays in firms' divestment decisions and thus slow recoveries from shocks, even when these shocks do not affect the economy's potential output. The impediments to reallocation increase with the dispersion in productivity and decrease with the interest rate, the frequency of sectoral shocks, and households' consumption smoothing motives. When households are risk averse, delaying reallocation serves as a hedge against future shocks, which can lead to persistent misallocation. Our model also provides a micro-foundation for convex adjustment costs and a link between the nature of these costs and the underlying economic environment.