Cómo citar
Melo , J. (2016). Arbitraje limitado bajo fondeo basado en desempeño. Revista Finanzas y Política Económica, 8(1), 165-187. https://doi.org/10.14718/rf&pe.v8i1.933

Resumen

En escenarios donde el pesimismo incrementa, los arbitrajistas afectan los precios al inducir una recuperación en la demanda por un activo riesgoso (efecto demanda) o por su capacidad para transferir recursos a escenarios donde la liquidez escasea (efecto liquidez). Si el efecto liquidez está activo, los arbitrajistas responden a oleadas de pesimismo e incrementan su posición corta o reducen el monto invertido en el activo riesgoso hoy. En consecuencia, permiten que el precio caiga en el presente, con lo cual se estabilizan las pérdidas en el caso de agudización del pesimismo en el futuro. El efecto liquidez es menor cuando los inversionistas son aversos al riesgo o cuando existen restricciones a las ventas en corto, lo cual se traduce en volatilidad de los precios futuros.

Licencia

Derechos de autor 2016 Jimmy Melo

Creative Commons License
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial-CompartirIgual 4.0.

Citas

1. Allen, F. y Carlleti, E. (2008). The role of liquidity in financial crises. Federal Reserve of Kansas City Economic Policy Symposium: Maintaining Stability in a Changing Financial System, Jackson Hole, WY.

2. Aristóteles (1999). Politics. Kitchener, CA: Batoche Books.

3. Aspara, Jaakko. (2010). The spill-over of product evaluations to stock investment decisions: an experiment with finnish individual investors. Aalto University School of Economics.

4. Barberis, N. y Richard, T. (2003). A survey of behavioral finance. En G. Constantinides, M. Harris y R. Stulz (Eds.), Handbook of the Economics of Finance (pp. 1051-1121). AS: Elsevier Science B.V.

5. BBC News (2008). FSA introduces short-selling ban. Recuperado de http://news.bbc.co.uk/2/hi/business/7624012.stm

6. Beber, A. y Marco, P (2013). Short-selling bans around the world: evidence from the 2007?09 crisis. The Journal of Finance, 68(1), 343-381

7. Bloomber Businessweek (2007). Hedge fund fees: the pressure builds. Recuperado de http://www.businessweek.com/magazine/content/07_20/b4034053.htm

8. Bris, A, Goetzmann, W. y Zhu, N. (2007). Efficiency and the bear: short sales and markets around the world. Journal of Finance, 62, 1029-1079.

9. Brunnermeier, M. y Pedersen, L. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22(6), 2201-2238.

10. Campbell, J. y Kyle, A. (1993). Smart Money, noise Trading and Stock Price Behaviour.? Review of Economic Studies, 60(1), 1-34.

11. Chuang, H-M. y Lo, H. (2009). The Study of Limited Arbitrage in Financial Markets of Taiwan. International Research Journal of Finance and Economics, 31, 164-179

12. Collins, M. y Ferguson, A. (2008). Australia?s broking sector is crinching. Recuperado http://www.theaustralian.com.au/stockbrokers-feeling-the-squeeze/story-fna7dq6e-1111117638688

13. Congdon, W., Kling, J. y Mullainathan, S. (2011). Policy and Choice: Public Finance through the Lens of Behavioral Economics. Washington: Brookings Institution Press.

14. Coval, J. y Stafford, E. (2007). Asset Fire Sales (and Purchases) in Equity Markets. Journal of Financial Economics, 86(2), 479-512.

15. Cutler, D., Poterba, J. y Summers, L. (1989). What moves stock prices?: moves in stock prices reflect something other than news about fundamental values. The Journal of Portfolio Management, 15(3), 4-12.

16. D?Avolio, G.. (2002). The market for borrowing stock. Journal of Financial Economics, 66, 271-306.

17. Depkie, C, Nguyen, G. y Sarkar, S. (2006). Agency costs, executive compensation, bonding and monitoring: A stochastic frontier approach. Annual Meeting of American Economic Association (AEA). Boston, MA.

18. Dong, L. (2011). A Flow-Based Explanation for Return Predictability. http://personal.lse.ac.uk/loud/flows_20111230.pdf

19. Edwards, F. R. (1999). Hedge Funds and the Collapse of Long-Term Capital Management. Journal of Economic Perspectives, 13(2), 189-210

20. Ellul, A., Jotikasthira, C. y Lundblad, C. (2010). Regulatory pressure and fire sales in the corporate bond market. Recuperado de http://www2.lse.ac.uk/fmg/documents/events/conferences/2010/contagion/ellul.pdf

21. Expansión (2008). La CNMV también estrecha el cerco en las apuestas bajistas. Recuperado de September 22. http://www.expansion.com/2008/09/22/inversion/1167625.html

22. Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417

23. Greenwood, R. y Thesmar, D. (2011). Stock Price Fragility? Journal of Finance Economics (artículo en prensa).

24. Gromb, D. y Vayanos, D. (2002). Equilibrium and Welfare in Markets with Financially Constrained arbitrageurs. Journal of Financial Economics, 66(2-3), 361-407.

25. Guttsman, J. (2011). WRAPUP 7-Europe curbs short-selling as credit markets swoon. Recuperado de http://www.reuters.com/article/2011/08/12/europe-banks-idUSLDE77A05U20110812

26. Jotikasthira, C., Lundblad, C. y Ramadorai, T. (2009). Asset Fire Sales and Purchases and the International Transmission of Financial Shocks. Centre for Economic Policy and Research Working Paper DP7595.

27. Klibanoff, P., Lamont, O. y Wizman, T. (1998). Investor Reaction to Salient News in Closed-End Country Funds. The Journal of Finance, 53(2), 673-699

28. Kirschbaum, E. y Marsh, S. (2010). Germany to permanently ban some short selling: BaFin. Recuperado de http://www.reuters.com/article/2010/05/28/us-germany-bafin-shortselling-idUSTRE64R2PF20100528

29. Lamont, O. y Thaler, T. (2003). Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs. Journal of Political Economy, 111(2), 227-268.

30. Long, B. et al. (1991). The Survival of noise traders in Financial Markets. The Journal of Business, 64(1), 1-19.

31. Lowenstein, R. (2001). When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York, US: Random House Trade Paperbacks.

32. Mas-Collel, A., Whiston, M. y Green, J. (1995). Microeconomy Theory. Oxford: Oxford University Press.

33. Mitchell, M, Lasse, H. Pedersen y Pulvino, T. (2007). Slow moving capital. American Economic Review, 97(2), 215-220.

34. Mitchell, M. y Pulvino, T. (2010). Arbitrage Crashes and the Speed of Capital. Recuperado de http://ssrn.com/abstract=1628261.

35. Shiller, R. (2000). Irrational Exuberance. Nueva Jersey: Princeton University Press.

36. Shiller, R. (2008). Financial Markets: Lecture 14 Transcript. Recuperado de http://oyc.yale.edu/economics/econ-252-08

37. Shleifer, A. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford, UK: Oxford University Press.

38. Shleifer, A. y Summers, L. (1990). The noise trader Approach to Finance. Journal of Economic Perspectives, 4(2), 19-33.

39. Shleifer, A. y Vishny, R. (1990). Equilibrium short horizons of investors and firms. American Economic Review Papers and Proceedings, 80, 148-153.

40. Shleifer, A. y Vishny, R. (1992). Liquidation Values and Debt Capacity: A Market Equilibrium Approach. Journal of Finance, 47(4), 1343-1366.

41. Shleifer, A. y Vishny, R. (1997). The Limits of Arbitrage. Journal of Finance, 52(1), 35-55.

42. Shleifer, A. y Vishny, R. (2011). Fire Sales in Finance and Macroeconomics. Journal of Economic Perspectives, 25(1), 29-48.

43. Stein, J. (2009). Presidential Address: Sophisticated investors and Market Efficiency.? The Journal of Finance, 54(4), 1517-1548.

44. Tirole, J. (2012). Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning.? American Economic Review, 102(1), 29-59.

45. Wildi, M. (2008). Real-time signal extraction: beyond maximum likelihood principles. Nueva York: Springer.

46. Wurgler, J. y Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks? Journal of Business, 75, 583-608.

Descargas

La descarga de datos todavía no está disponible.
Sistema OJS 3 - Metabiblioteca |