Presidential Address: Sophisticated Investors and Market Efficiency

• 成果类型: Article
• 署名作者: Stein, Jeremy C.
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01472.x
• 发表日期: 2009
• 页码: 1517-1548
• 关键词: stock-prices; financial fragility; FUTURE EARNINGS; cross-section; FULLY REFLECT; RISK; speculation; arbitrage; debt; equilibrium

摘要

Stock-market trading is increasingly dominated by sophisticated professionals, as opposed to individual investors. Will this trend ultimately lead to greater market efficiency ? I consider two complicating factors. The first is crowding-the fact that, for a wide range of unanchored strategies, an arbitrageur cannot know how many of his peers are simultaneously entering the same trade. The second is leverage-when an arbitrageur chooses a privately optimal leverage ratio, he may create a fire-sale externality that raises the likelihood of a severe crash. In some cases, capital regulation may be helpful in dealing with the latter problem.