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| Author: | Abreu, D. Brunnermeier, M. K. |
| Title: | Synchronization risk and delayed arbitrage |
| Journal: | Journal of Financial Economics
2002 : DEC, VOL. 66:2-3, p. 341-360 |
| Index terms: | Behavioural science Market efficiency Risk analysis |
| Language: | eng |
| Abstract: | The authors argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk - which is distinct from noise trade risk and fundamental risk - arises in our model because arbitrageurs become sequentially aware of mispricing and they uncur holding costs. |
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