Equilibrium Mispricing in a Capital Market with Portfolio Constraints

By Suleyman Basak, Benjamin Croitoru. 2000

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/84f122c0a36c915788320b5cfe719db2ffc5a4be

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading (2009, methodology): “By standard methods, the general solution of the non-homogenous linear differential equation of (5) is J 0 (v (t)) = 1 + c1e , where c1 is a constant.”
Limits of Arbitrage (2010, unknown): “Related results are derived in Cuoco (1997), Basak & Croitoru (2000; 2006) and Geanakoplos (2003).”
Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2000, background): “(2)Basak and Croitoru (2000) and Loewenstein and Willard (2000a, 2000b, 2000c) focus on the important issue of whether arbitrage or mispricing can exist in general equilibrium.”
Equilibrium and welfare in markets with financially constrained arbitrageurs (2002, unknown): “However, only some agents (arbitrageurs) can invest in both risky assets, while the other agents (A- and B-investors) can invest in only one risky asset.”
The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “Basak and Croitoru (2000), Basak and Cuoco (1998), Detemple and Murthy (1997), Detemple and Serrat (2003), Gallmeyer and Hollifield (2004), Shapiro (2002), among others, all consider the effects of portfolio constraints on asset prices in dynamic economies.11 Their solution methodology is similar to”
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets (2004, unknown): “If we take the view that these deviations rule out our most standard asset pricing models, then what possible explanations exist? If markets are sufficiently incomplete, and there is diversity across agents, then it may be the case that these securities offer benefits beyond their risk-return profil”
Convergence trading with wealth effects: an amplification mechanism in financial markets (2001, background): “In other related studies, Basak and Croitoru (2000) study riskless arbitrage trading with position limits, Loewenstein and Willard (2000) study the trading of hedge funds with credit constraints, and Liu and Longstaff (2000) study a portfolio choice problem of arbitrageurs when arbitrage…”
Margin-Based Asset Pricing and Deviations from the Law of One Price (2011, unknown): “(1997), Geanakoplos (1997), Kiyotaki and Moore (1997), Caballero and Krishnamurthy (2001), Lustig and Van Nieuwerburgh (2005), Coen-Pirani (2005), Fostel and Geanakoplos (2008)) and the possibility of arbitrage in equilibrium ( Basak and Croitoru (2000, 2006) , Geanakoplos (2003)).”
Dotcom Mania: The Rise and Fall of Internet Stock Prices (2003, unknown): “…-4 0.0136 2.725 6 0.090 6.950 -5 0.0177 3.278 7 0.102 7.284 -6 0.0125 1.912 8 0.109 7.391 -7 0.0070 1.228 9 0.121 7.772 -8 0.0115 2.166 10 0.130 7.999 -9 0.0090 1.640 46 Panel B Correlation between various measures of short interest and firm characteristics for 273 internet firms as February 2000.”
Heterogeneous Beliefs, Speculation, and the Equity Premium (2008, methodology): “More directly, my analysis extends the analysis of continuous time models of heterogeneous beliefs (Detemple and Murthy 1994, Zapatero 1998, Basak 2000, Basak and Croitoru 2000, Buraschi and Jiltsov 2002) to the case of recurrent jumps in the underlying drift of diffusion process.”