Presidential Address: Sophisticated Investors and Market Efficiency

By Jeremy C. Stein. 2009

318 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/427b4a06b2728feeadcf441d688b7b5a6863c429

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Citations in the corpus

Capital Market-Driven Corporate Finance (2009, unknown): “See, for example, Stein (2009).”
Corporate immunity to the COVID-19 pandemic (2020, unknown): “First, as discussed in Stein (2009) and Khandani and Lo (2011) , hedge funds often employ quantitative trading strategies that can trigger overcrowding and 6 Even without direct government ownership of firms, Faccio et al. (2006) find that politically connected firms are significantly more likely…”
On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios (2012, background): “The fact that investors can pull out their demandable (debt or equity) claims can generate incentives for managers to avoid long-run arbitrage opportunities, herd, and deviate from the optimal portfolios for the underlying investors (Scharfstein and Stein, 1990 and Stein, 2005, 2009).”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, methodology): “4 See for example, Chen, Hong, Huang, and Kubik (2004); Pollet and Wilson (2008); and Wahal and Wang (2011). 5 See Stein (2008) and Gray and Kern (2010) for theoretical and empirical evidence.”
Limits of Arbitrage (2010, unknown): “17See also Acharya & Viswanathan (2009), who derive constraints from asset substitution, and Hombert and Thesmar (2009) and Stein (2009), who study arbitrageurs’ choice between short- and long-term financing.”
Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (2014, result): “37 This finding is in contrast to the “crowding” effect modeled in Stein (2009), where even fund managers who rationally trade in response to analyst recommendation changes may cause price pressure because they do not precisely know the number of other investors trading on the same signal.”
The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “If frictions limiting the effectiveness of arbitrage are minor, then the steady growth of arbitrage capital may eventually eliminate the excess returns to strategies that exploit anomalies (Lo 2004; Stein 2009).”