Anything is possible: on the existence and uniqueness of equilibria in the Shleifer-Vishny model of limits of arbitrage

This file is part of IDEAS, which uses RePEc data

Anything is possible: on the existence and uniqueness of equilibria in the Shleifer-Vishny model of limits of arbitrage

Author Info

Arnold, Lutz G.

Additional information is available for the following registered author(s):

Lutz Georg Arnold

Abstract

This paper gives a complete characterization of the equilibria in Shleifer and Vishny's (1997) model of "Limits of Arbitrage". We show that expected wealth (the arbitrageurs' objective function) is a possibly non-concave function of investment and that the relation between investment and prices is not necessarily continuous or single-valued or well-defined. As a result, "anything is possible": non-existence or multiplicity of equilibria may arise, and sunspots may govern the equilibrium selection in the latter case.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by University of Regensburg, Department of Economics in its series Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft with number 418.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 27 Oct 2006
Date of revision:
Handle: RePEc:bay:rdwiwi:732

Note: This paper is part of http://www.opus-bayern.de/uni-regensburg/schriftenreihen_ebene2.php?sr_id=3
Contact details of provider:
Postal: D-93040 Regensburg
Phone: +49 941 943-2392
Fax: +49 941 943-4752
Email:
Web page: http://www.wiwi.uni-regensburg.de/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Marc Reymann) The email address of this maintainer does not seem to be valid anymore. Please ask Marc Reymann to update the entry or send us the correct address..

Other versions of this item:

Article
- Lutz G. Arnold, 2008. "Anything is Possible: On the Existence and Uniqueness of Equilibria in the Shleifer-Vishny Model of Limits of Arbitrage," Review of Finance, Oxford University Press for European Finance Association, vol. 13(3), pages 521-553. [Downloadable!] (restricted)

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-11-04 (All new papers)
NEP-CFN-2006-11-04 (Corporate Finance)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March. [Downloadable!] (restricted)
Other versions:
- Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
- Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Barberis, Nicholas & Thaler, Richard, 2003. "A survey of behavioral finance," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 18, pages 1053-1128 Elsevier. [Downloadable!] (restricted)
Other versions:
- Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

Full references

Statistics
Access and download statistics

Did you know? IDEAS also indexes books.

This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.