The Elasticity of Quantitative Investment

• 成果类型: Article
• 署名作者: Davis, Carter
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf047
• 发表日期: 2025
• 页码: 2845
• 关键词: cross-section; portfolio; liquidity; stocks; RISK

摘要

What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical models that rely on statistical arbitrageurs to create elastic market demand for assets. This inelasticity arises from the difficulty of trading against price changes. A quantitative equilibrium model shows that aggregate demand remains inelastic even with these statistical arbitrageurs in the market.