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portfolio risk in the second half of the year. At the same time, it is a well-established stylized fact that stock returns and … deviation for the second half of the year using holdings-based measures in order to distinguish between risk changes that result …
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We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...
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We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...
Persistent link: https://www.econbiz.de/10012465779
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