Synchronization risk and delayed arbitrage

• 成果类型: Article
• 署名作者: Abreu, D; Brunnermeier, MK
• 署名单位: Princeton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00227-1
• 发表日期: 2002
• 页码: 341-360
• 关键词: Limits to arbitrage; synchronization risk; Market timing; efficient markets hypothesis; behavioral finance

摘要

We argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk-which is distinct from noise trader risk and fundamental risk-arises in our model because arbitrageurs become sequentially aware of mispricing and they incur holding costs. We show that rational arbitrageurs time the market rather than correct mispricing right away. This leads to delayed arbitrage. The analysis suggests that behavioral influences on prices are resistant to arbitrage in the short and intermediate run. (C) 2002 Elsevier Science B.V. All rights reserved.