Costly arbitrage and the myth of idiosyncratic risk

By Jeffrey Pontiff. 2006

588 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/250f28086e9d282bd2ce1ed4005420ec87f09e78

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Citations in the corpus

The Interim Trading Skills of Institutional Investors (2011, background): “Pontiff (1996, 2006) and Shleifer and Vishny (1997) contend that arbitrageurs are less willing to take large positions in high idiosyncratic volatility stocks, which results in larger potential mispricing.”
On the Scope and Drivers of the Asset Growth Effect (2011, unknown): “Pontiff (1996), (2006) argues that IVOL is an important measure of holding costs in that arbitrageurs trade off the degree to which they profit from predictable return patterns against the degree of risk they incur to do so.”
Rumor Has It: Sensationalism in Financial Media (2015, methodology): “We split our sample into above- and below-median subsamples based on two widely used measures of the costs of arbitrage: idiosyncratic volatility and Amihud illiquidity (Shleifer and Vishny 1997; Pontiff 2006; Amihud 2002; Hirshleifer, Teoh, and Yu 2011).”
Idiosyncratic Risk, Long-Term Reversal, and Momentum (2010, methodology): “This effect can be seen in Treynor and Black (1973) and Pontiff (2006), both of whom use a Markowitz (1952) mean-variance portfolio optimization framework to study the wealth allocation of an arbitrageur.”
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns (2009, unknown): “Since transaction costs for small firms are notoriously high, and idiosyncratic risk increases holding costs and makes arbitrage more costly (Pontiff, 2006), it is dubious that the negative relation would present a true profitable opportunity.”
Activist arbitrage: A study of open-ending attempts of closed-end funds (2010, methodology): “studied by Thompson (1978), Brauer (1988), and Pontiff (1995).”
Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, unknown): “For example, Pontiff (2006) argues that idiosyncratic risk is the single largest cost faced by arbitrageurs.”
Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (2016, unknown): “Higher total ownership relieves supply constraints, as we showed earlier, and Pontiff (2006) argues that idiosyncratic risk is the largest cost face by arbitrageurs.”