haku: @author Pontiff, J. / yhteensä: 4
viite: 2 / 4
| Tekijä: | Pontiff, J. |
| Otsikko: | Costly arbitrage and the myth of idiosyncratic risk |
| Lehti: | Journal of Accounting & Economics
2006 : OCT, VOL. 42:1-2, p. 35-52 |
| Asiasana: | capital markets efficiency arbitrage costs risk models |
| Kieli: | eng |
| Tiivistelmä: | Although the relation btw. mispricing and transaction costs is well-known, the relation btw. mispricing and holding costs is misunderstood. Especially one holding cost, that is, idiosyncratic risk, is misunderstood. Various myths are debunked, incl. the common myth that idiosyncratic risk matters because arbitrageurs only have access to a small number of projects as Shleifer and Vishny (in the Journal of Finance (1997), 52, p. 3555). |
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