Risk in Dynamic Arbitrage: Price Effects of Convergence Trading
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- Alex Edmans & Itay Goldstein & Wei Jiang, 2011.
"Feedback Effects and the Limits to Arbitrage,"
NBER Working Papers
17582, National Bureau of Economic Research, Inc.
- Edmans, Alex & Goldstein, Itay & Jiang, Wei, 2014. "Feedback Effects and the Limits to Arbitrage," CEPR Discussion Papers 9917, C.E.P.R. Discussion Papers.
- Edmans, Alex & Goldstein, Itay & Jiang, Wei, 2011. "Feedback Effects and the Limits to Arbitrage," Working Papers 11-67, University of Pennsylvania, Wharton School, Weiss Center.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
- Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers 8307, C.E.P.R. Discussion Papers.
- Tommaso Mancini Griffoli & Angelo Ranaldo, 2010.
"Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity,"
2010-14, Swiss National Bank.
- Mancini Griffoli, Tommaso & Ranaldo, Angelo, 2012. "Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity," Working Papers on Finance 1212, University of St. Gallen, School of Finance.
- Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2014. "Do Hedge Funds Reduce Idiosyncratic Risk?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(04), pages 843-877, August.
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KeywordsConvergence trading; Limits to arbitrage; Liquidity crisis.;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
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