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Showing 1 to 2 of 2 for “"Arbitrage capital"”.
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Three essays in financial economics
… project, I explore the effect of time-varying arbitrage capital availability on the cross-section of abnormal equity returns. I investigate the relationship between arbitrage capital, proxied by a market wide-liquidity measure introduced by Hu, Pan and Wang (2013), and the future performance of …
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Limits to Arbitrage and Commodity Index Investment
… strategies is decreasing in the amount of arbitrage capital employed in the futures markets and increasing in the size of index funds' investment relative to the total size of futures markets. Due to the price impact, index investors forwent on average 3.6% annual return, a 48% higher …