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Arbitraje limitado bajo fondeo basado en desempeno

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  • Jimmy Melo

Abstract

En escenarios donde el pesimismo incrementa, los arbitrajistas afectan los precios al inducir una recuperación en la demanda por un activo riesgoso (efecto demanda) o por su capacidad para transferir recursos a escenarios donde la liquidez escasea (efecto liquidez). Si el efecto liquidez está activo, los arbitrajistas responden a oleadas de pesimismo e incrementan su posición corta o reducen el monto invertido en el activo riesgoso hoy. En consecuencia, permiten que el precio caiga en el presente, con lo cual se estabilizan las pérdidas en el caso de agudización del pesimismo en el futuro. El efecto liquidez es menor cuando los inversionistas son aversos al riesgo o cuando existen restricciones a las ventas en corto, lo cual se traduce en volatilidad de los precios futuros.******In scenarios of increasing pessimism, arbitrageurs affect processes by inducing a recuperation in demand for a risky asset (demand effect) or as a result of their capacity to transfer resources to scenarios of scarce liquidity (the liquidity effect). If the liquidity effect is active, arbitrageurs respond to waves of pessimism and, as a consequence, increase their short positions or reduce the amount invested in the risky asset today. In this manner, they allow the price to fall in the present, thereby stabilizing losses if pessimism sharpens in the future. The liquidity effect is smaller when investors are risk-averse or when there are short-term restrictions on sales, a situation that translates into volatility in future prices.

Suggested Citation

  • Jimmy Melo, 2016. "Arbitraje limitado bajo fondeo basado en desempeno," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 8(1), pages 165-187, March.
    • Handle: RePEc:col:000443:015416
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    finanzas del comportamiento; arbitraje limitado; noise--trader risk; ventas de emergencia; liquidez.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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