On the role of arbitrageurs in rational markets

• 成果类型: Article
• 署名作者: Basak, Suleyman; Croitoru, Benjamin
• 署名单位: McGill University; University of London; London Business School; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.11.004
• 发表日期: 2006
• 页码: 143-173
• 关键词: arbitrage; asset pricing; Margin requirements; noncompetitive markets; risk-sharing

摘要

We investigate the role of arbitrageurs, who exploit price discrepancies between redundant securities. Arbitrage opportunities arise endogenously in an economy populated by rational, heterogeneous investors facing investment restrictions. We show that an arbitrageur alleviates these restrictions and improves the transfer of risk amongst investors. When the arbitrageur behaves noncompetitively, taking into account the price impact of his trades, he optimally limits the size of his positions due to his decreasing marginal profits. When the arbitrageur is subject to margin requirements and is endowed with capital from outside investors, the size of his trades and capital are endogenously determined in equilibrium. (c) 2005 Published by Elsevier B.V.