Synchronization risk and delayed arbitrage

By Dilip Abreu, Markus K. Brunnermeier. 2002

485 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a6bc5b1fa5d374aef7b104f095969a3ae7a970e1

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Citations in the corpus

Carry Trades and Currency Crashes (2008, background): “Strategic complementarties also play a central role in Abreu and Brunnermeier (2002) .”
Informed and Uninformed Investment in Housing: The Downside of Diversification (2011, background): “Other models suggest uninformed trading may destabilize prices (e.g., Delong, Shleifer, Summers and Waldman (1990), Abreu and Brunnermeier (2002)).”
The Cross Section of Analyst Recommendations (2004, background): “…study impediments to arbitrage activity, but implicitly rely on recent studies that explore barriers to such activity (Shleifer and Vishny (1997), Abreu and Brunnermeier (2002), and Mitchell, Pulvino, and Stafford (2002)) as rationales for why our predictability is not eliminated by astute…”
Information Percolation, Momentum and Reversal (2014, unknown): “5 Immediately prior to trading session t = 0, each investor i obtains a private signal about the asset payoff, z̃ 0: z̃ 0 = Ũ + ̃0, (1)”
Does investor sentiment really matter (2016, background): “Finally, Abreu and Brunnermeier (2002, 2003) reason that arbitrageurs are incapable of coordinating and synchronizing their efforts in order to become a stronger driving force in the market to correct mispricing. As early as Keynes (1936), there has been interest in determining what role sentiment a”
Psychology-based Models of Asset Prices and Trading Volume (2018, unknown): “Synchronization risk (Abreu and Brunnermeier, 2002).”
Limits of Arbitrage (2010, unknown): “Abreu & Brunnermeier (2002; 2003) assume that arbitrageurs learn about a profitable investment opportunity privately at different points in time, so the opportunity’s existence is not common knowledge.”
The market for borrowing stock (2002, unknown): “According to Almazan et al. (2000), 70% of investment managers are precluded by charter and strategy restrictions from short selling.”
Does Simple Pairs Trading Still Work? (2010, background): “Although seemingly counterintuitive, this “delayed arbitrage” can be viewed as evidence of “learning” by arbitrageurs: Increased aversion to arbitrage risks, especially synchronization risk (Abreu and Brunnermeier 2002), prompts arbitrageurs to take time to act on any mispricings.”