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dc.contributor.authorHanson, Samuel Gregory
dc.contributor.authorSunderam, Aditya Vikram
dc.date.accessioned2013-10-07T18:16:49Z
dc.date.issued2013-10-07
dc.identifier.citationHanson, Samuel G., and Adi Sunderam. "The Growth and Limits of Arbitrage: Evidence from Short Interest." Review of Financial Studies (forthcoming). (Internet Appendix: http://www.people.hbs.edu/shanson/shortint_IA_20130814_FINAL.pdf)en_US
dc.identifier.issn0893-9454en_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:11148066
dc.description.abstractWe develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted in lower strategy returns. However, consistent with theories of limited arbitrage, we show that strategy-level capital flows are influenced by past strategy returns as well as strategy return volatility, and that arbitrage capital is most limited during times when strategies perform best. This suggests that the growth of arbitrage capital may not completely eliminate returns to these strategies.en_US
dc.language.isoen_USen_US
dc.publisherOxford University Press (OUP)en_US
dc.relation.hasversionhttp://rfs.oxfordjournals.org/en_US
dash.licenseOAP
dc.titleThe Growth and Limits of Arbitrage: Evidence from Short Interesten_US
dc.typeJournal Articleen_US
dc.description.versionAuthor's Originalen_US
dc.relation.journalReview of Financial Studiesen_US
dash.depositing.authorHanson, Samuel Gregory
dc.date.available2013-10-07T18:16:49Z
dash.contributor.affiliatedHanson, Samuel
dash.contributor.affiliatedSunderam, Adi


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