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Does Arbitrage Flatten Demand Curves for Stocks?

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Cited by:

  1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
  2. David Calnitsky & Asher Dupuy-Spencer, 2013. "The economic consequences of homo economicus: neoclassical economic theory and the fallacy of market optimality," The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, vol. 6(2), May.
  3. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2023. "Imperfect Financial Markets and Investment Inefficiencies," American Economic Review, American Economic Association, vol. 113(9), pages 2323-2354, September.
  4. Kenechukwu E. Anadu & Mathias S. Kruttli & Patrick E. McCabe & Emilio Osambela, 2018. "The Shift from Active to Passive Investing : Potential Risks to Financial Stability?," Finance and Economics Discussion Series 2018-060r1, Board of Governors of the Federal Reserve System (U.S.), revised 29 Jun 2020.
  5. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
  6. Wang, Peipei & Wen, Yuanji & Singh, Harminder, 2017. "The high-volume return premium: Does it exist in the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 323-336.
  7. Fernandes, Marcelo & Mergulhão, João, 2016. "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 79-90.
  8. repec:spo:wpecon:info:hdl:2441/9261 is not listed on IDEAS
  9. Schnitzler, Jan, 2018. "S&P 500 inclusions and stock supply," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 341-356.
  10. Dragos Stefan Oprea & Laura Brad, 2014. "Investor Sentiment and Stock Returns: Evidence from Romania," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 19-25, April.
  11. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
  12. Stanley, H.E. & Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki, 2007. "Economic fluctuations and statistical physics: Quantifying extremely rare and less rare events in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 286-301.
  13. Larrain, Borja & Urzúa I., Francisco, 2013. "Controlling shareholders and market timing in share issuance," Journal of Financial Economics, Elsevier, vol. 109(3), pages 661-681.
  14. Kashyap, Anil K & Kovrijnykh, Natalia & Li, Jian & Pavlova, Anna, 2021. "The benchmark inclusion subsidy," Journal of Financial Economics, Elsevier, vol. 142(2), pages 756-774.
  15. Yaping Zhou & Xundi Diao & Dayong Lv, 2023. "Role of OTC options in stock price efficiency: Evidence from the Chinese market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4629-4655, December.
  16. Jiang, Hao & Vayanos, Dimitri & Zheng, Lu, 2020. "Tracking biased weights: asset pricing implications of value-weighted indexing," LSE Research Online Documents on Economics 118847, London School of Economics and Political Science, LSE Library.
  17. Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  18. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
  19. Martin, Philippe & Rey, Helene, 2004. "Financial super-markets: size matters for asset trade," Journal of International Economics, Elsevier, vol. 64(2), pages 335-361, December.
  20. Tu, Chia-Jung & Chang, Yuanchen, 2012. "Analyst responses to stock-index adjustments: Evidence from MSCI Taiwan Index additions," Review of Financial Economics, Elsevier, vol. 21(2), pages 82-89.
  21. Jerry Coakley & George Dotsis & Apostolos Kourtis & Dimitris Psychoyios, 2024. "The S&P 500 index inclusion effect: Evidence from the options market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 1157-1171, January.
  22. Ernest N. Biktimirov & Yuanbin Xu, 2019. "Market reactions to changes in the Dow Jones industrial average index," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 15(5), pages 792-812, May.
  23. Kevin Aretz & Marc Aretz, 2016. "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 19-61, February.
  24. Nicolas Coeurdacier & Philippe Martin, 2009. "The Geography of Asset Trade and the Euro: Insiders and Outsiders," NBER Chapters, in: Financial Globalization, 20th Anniversary Conference, NBER-TCER-CEPR, National Bureau of Economic Research, Inc.
  25. Yun Meng & Christos Pantzalis, 2021. "Lottery-type stocks and corporate strategies at the turn of the month," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 1027-1055, April.
  26. Duca, Eric & Dutordoir, Marie & Veld, Chris & Verwijmeren, Patrick, 2012. "Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2884-2899.
  27. Fernandes, Marcelo & Mergulhão, João, 2016. "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 79-90.
  28. Chen, Carl R. & Diltz, J. David & Huang, Ying & Lung, Peter P., 2011. "Stock and option market divergence in the presence of noisy information," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2001-2020, August.
  29. Cristina Vespro, 2006. "Stock Price and Volume Effects Associated with Compositional Changes in European Stock Indices," European Financial Management, European Financial Management Association, vol. 12(1), pages 103-127, January.
  30. Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
  31. Feixue Gong & Gregory Phelan, 2023. "Collateral constraints, tranching, and price bases," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 317-340, February.
  32. Kaplanski, Guy & Levy, Haim, 2010. "Sentiment and stock prices: The case of aviation disasters," Journal of Financial Economics, Elsevier, vol. 95(2), pages 174-201, February.
  33. Ralph S. J. Koijen & Motohiro Yogo, 2019. "A Demand System Approach to Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 127(4), pages 1475-1515.
  34. Kristy Jansen & Sven Klingler & Angelo Ranaldo & Patty Duijm, 2024. "Pension Liquidity Risk," Working Papers 801, DNB.
  35. Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
  36. Albert S. Kyle & Anna A. Obizhaeva, 2020. "Large Bets and Stock Market Crashes," Working Papers w0269, New Economic School (NES).
  37. Mariana Escobar & Lorenzo Pandolfi & Alvaro Pedraza & Tomas Williams, 2021. "The Anatomy of Index Rebalancings: Evidence from Transaction Data," CSEF Working Papers 621, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 12 2021.
  38. Portes, Richard & Rey, Helene, 2005. "The determinants of cross-border equity flows," Journal of International Economics, Elsevier, vol. 65(2), pages 269-296, March.
  39. Binh Do & Robert Faff, 2021. "Pairs trading and idiosyncratic cash flow risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3171-3206, June.
  40. Ken B. Cyree & James T. Lindley & Drew B. Winters, 2007. "The Effect of Substitute Assets on Yields in Financial Markets," Financial Management, Financial Management Association International, vol. 36(1), pages 27-47, March.
  41. Chia-Jung Tu, 2012. "The Price Response to KIKKEI 225 Stocks Index Adjustments," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 59-71.
  42. Lee, Charles M.C. & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2019. "Technological links and predictable returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 76-96.
  43. Pontiff, Jeffrey, 2006. "Costly arbitrage and the myth of idiosyncratic risk," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 35-52, October.
  44. Konstantina Kappou & Ioannis Oikonomou, 2016. "Is There a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices," Journal of Business Ethics, Springer, vol. 133(3), pages 533-552, February.
  45. Xing, Xuejing, 2008. "Do demand curves for stocks slope down?: Evidence from aggregate data," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 641-651, August.
  46. Konstantinos Konstantaras & Vasilios Sogiakas, 2019. "Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs," Annals of Operations Research, Springer, vol. 282(1), pages 179-216, November.
  47. Lundstrum, Leonard L. & Walker, Mark D., 2006. "LEAPS introductions and the value of the underlying stocks," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 494-510, October.
  48. Fischer, Georg, 2019. "How dynamic hedging affects stock price movements: Evidence from German option and certificate markets," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-35-19, University of Passau, Faculty of Business and Economics.
  49. Ernest Biktimirov & Boya Li, 2014. "Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 95-122, January.
  50. Greenwood, Robin, 2005. "Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage," Journal of Financial Economics, Elsevier, vol. 75(3), pages 607-649, March.
  51. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
  52. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
  53. Oehmke, Martin, 2014. "Liquidating illiquid collateral," LSE Research Online Documents on Economics 84518, London School of Economics and Political Science, LSE Library.
  54. Randall Morck & Fan Yang, 2001. "The Mysterious Growing Value of S&P 500 Membership," NBER Working Papers 8654, National Bureau of Economic Research, Inc.
  55. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(2), pages 461-504.
  56. Wei, Xin & Liu, Xi & Zhang, Xueyong, 2022. "Shadow banking and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  57. Nekat, Kai & Nippel, Peter, 2007. "The impact of a firm's payout policy on stock prices and shareholders' wealth in an inefficient market," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 619, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  58. Robert F. Stambaugh & Yu Yuan, 2017. "Mispricing Factors," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1270-1315.
  59. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
  60. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
  61. Rao, Lanlan & Zhou, Liyun, 2019. "The role of stock price synchronicity on the return-sentiment relation," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 119-131.
  62. Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03, University of Cologne, Centre for Financial Research (CFR).
  63. Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2407-2443, July.
  64. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
  65. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South Sea Bubble," American Economic Review, American Economic Association, vol. 94(5), pages 1654-1668, December.
  66. Obregón, Carlos, 2018. "Beyond behavioral economics: who is the economic man," MPRA Paper 89653, University Library of Munich, Germany.
  67. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
  68. Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, August.
  69. Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 302-335, August.
  70. COLLA, Paolo, 2005. "A market microstructure rationale for the S&P game," LIDAM Discussion Papers CORE 2005008, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  71. Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013. "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4920-4930.
  72. Linus Wilson, 2011. "Stock demand curves and TARP returns," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 3(3), pages 229-242, August.
  73. Su, Xuan-Qi, 2023. "Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  74. Okada, Katsuhiko & Isagawa, Nobuyuki & Fujiwara, Kenya, 2006. "Addition to the Nikkei 225 Index and Japanese market response: Temporary demand effect of index arbitrageurs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 395-409, September.
  75. Chang, Xin & Chen, Yunling & Dasgupta, Sudipto, 2019. "Macroeconomic conditions, financial constraints, and firms’ financing decisions," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 242-255.
  76. Zhu, PengCheng, 2011. "Persistent performance and interaction effects in sequential cross-border mergers and acquisitions," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 18-39, February.
  77. Anand M. Vijh & Jiawei (Brooke) Wang, 2022. "Negative returns on addition to the S&P 500 index and positive returns on deletion? New evidence on the attractiveness of S&P 500 versus S&P 400 indexes," Financial Management, Financial Management Association International, vol. 51(4), pages 1127-1164, December.
  78. Leippold, Markus & Wang, Qian & Zhou, Wenyu, 2022. "Machine learning in the Chinese stock market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 64-82.
  79. Ahmed, Bouteska, 2020. "Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  80. Elliott, William B. & Songur, Hilmi, 2016. "The role of arbitrage risk on the elasticity of demand: New evidence from 100% secondary equity offerings," Finance Research Letters, Elsevier, vol. 19(C), pages 165-172.
  81. Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
  82. Truong, Cameron, 2011. "Post-earnings announcement abnormal return in the Chinese equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 637-661.
  83. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
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  85. Stoyu I. Ivanov & Kenneth Leong & Janis K. Zaima, 2014. "Operational Performance of Firms Added to the S&P 500 Index," Economics Bulletin, AccessEcon, vol. 34(1), pages 605-613.
  86. Robin Greenwood & Toomas Laarits & Jeffrey Wurgler, 2022. "Stock Market Stimulus," NBER Working Papers 29827, National Bureau of Economic Research, Inc.
  87. Raymond C. W. Leung & Yu-Man Tam, 2021. "Statistical Arbitrage Risk Premium by Machine Learning," Papers 2103.09987, arXiv.org.
  88. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  89. Raphael Flepp & Stephan Nüesch & Egon Franck, 2013. "Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry," Working Papers 341, University of Zurich, Department of Business Administration (IBW).
  90. Mihov, Atanas & Naranjo, Andy, 2017. "Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 73-100.
  91. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
  92. Hélène Rey & Philippe Martin, 2006. "Globalization and Emerging Markets: With or Without Crash?," American Economic Review, American Economic Association, vol. 96(5), pages 1631-1651, December.
  93. Kumar, Rajnish & Lawrence, Edward R. & Prakash, Arun & Rodríguez, Iván M., 2023. "Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle," Journal of Banking & Finance, Elsevier, vol. 154(C).
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  131. Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017. "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 26-45.
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  137. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2017. "Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium," NBER Working Papers 23419, National Bureau of Economic Research, Inc.
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