Earticle

초록

영어

We document and discuss cues that drive arbitrageurs’ behavior. In particular, we test, for a wide set of anomalies, whether arbitrageurs trade on anomalies, which anomalies attract the most arbitrage efforts, and what this reveals about arbitrageurs’ decision-making process. Arbitrage involvement is inferred via changes in short interest when a security falls into the “short leg” of an anomaly strategy. We provide evidence that arbitrageurs flock to high-volatility strategies and that this behavior is influenced by the convexity in fee structure common in the investment industry. Anomaly popularity also relates to the corresponding anomaly being discussed in academic outlets.

목차

Abstract
 1. Introduction
 2. Data and Descriptive Statistics
  2.1 Data
  2.2 Descriptive Statistics - Anomaly Performance
 3. Main Results
  3.1 Methodology
  3.2 Trading on Anomalies
  3.3 Differences in Anomaly Popularity: The Role of Investor Awareness
  3.4 Differences in Anomaly Popularity: The Role of a Strategy’s Volatility
 4. Additional Analyses/Discussion
  4.1 Endogeneity/Omitted Variables
  4.2 Transaction Costs
  4.3 Can Arbitrageurs Time Anomaly Crashes?
 5. Conclusion
 References
 Appendix
 Figure
 Table

키워드

저자

• Byoung-Hyoun Hwang [ Krannert School of Management, Purdue University ]
• Baixiao Liu [ Krannert School of Management, Purdue University ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330