haku: @indexterm arbitrage / yhteensä: 72
viite: 19 / 72
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. 35–55).
SCIMA tietueen numero: 265290
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