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Slow moving capital

Author: Mark Mitchell; Lasse Heje Pedersen; Todd Pulvino; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2007.
Series: Working paper series (National Bureau of Economic Research), no. 12877.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
"We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mark Mitchell; Lasse Heje Pedersen; Todd Pulvino; National Bureau of Economic Research.
OCLC Number: 81279992
Description: 1 online resource (1 v.)
Series Title: Working paper series (National Bureau of Economic Research), no. 12877.
Responsibility: Mark Mitchell, Lasse Heje Pedersen, Todd Pulvino.

Abstract:

"We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital"--NBER website.

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