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Slow Moving Capital / Mark Mitchell, Lasse Heje Pedersen, Todd Pulvino.
- Format:
- Book
- Author/Creator:
- Mitchell, Mark.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12877.
- NBER working paper series no. w12877
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2007.
- 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 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.
- Notes:
- Print version record
- January 2007.
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