capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …

capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

This paper decomposes the overall market (CAPM) risk into parts re.ecting uncertainty related to the long-run dynamics … with assets.and market.s cash .ows and discount rates) and we employ a discrete time version of the I-CAPM to derive a four …

multifactor pricing models. In the framework of the Arbitrage Pricing Theory (APT), this paper estimates the set of factors that …

flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation …