Capital Market Efficiency and Arbitrage Efficacy Conference Paper

abstract

• AbstractEfficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relation between flows to a quantitative (quant) strategy that is based on capital market anomalies and the subsequent performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively, which in turn leads to lower profitability of market anomalies in the future, and vice versa. Thus, the degree of cross-sectional equity market efficiency varies across time with the availability of arbitrage capital.

authors

• Sorescu, Sorin

published proceedings

• Journal of Financial and Quantitative Analysis

altmetric score

• 3

author list (cited authors)

• Akbas, F., Armstrong, W. J., Sorescu, S., & Subrahmanyam, A

citation count

• 26

complete list of authors

• Akbas, Ferhat||Armstrong, Will J||Sorescu, Sorin||Subrahmanyam, Avanidhar

publication date

• January 2016

publisher

• Cambridge University Press (CUP)  Publisher

published in

• Journal of Financial and Quantitative Analysis  Journal

keywords

• Cross-section Of Stock Returns; Limits To Arbitrage; Market Efficiency; Anomalies; Funding Constraints; Fund Flows; Mutual Funds

Digital Object Identifier (DOI)

• 10.1017/s0022109016000223

start page

• 387

end page

• 413

volume

• 51

issue

• 2

URL

• http%3A%2F%2Fdx.doi.org%2F10.1017%2Fs0022109016000223