Arbitraje limitado bajo fondeo basado en desempeño.

Melo, Jimmy

doi:10.14718/revfinanzpolitecon.2016.8.1.9

Titulo:

Arbitraje limitado bajo fondeo basado en desempeño.
.

Sumario:

En escenarios donde el pesimismo incrementa, los arbitrajistas afectan los precios al inducir una recuperación en la demanda por un activo riesgoso (efecto demanda) o por su capacidad para transferir recursos a escenarios donde la liquidez escasea (efecto liquidez). Si el efecto liquidez está activo, los arbitrajistas responden a oleadas de pesimismo e incrementan su posición corta o reducen el monto invertido en el activo riesgoso hoy. En consecuencia, permiten que el precio caiga en el presente, con lo cual se estabilizan las pérdidas en el caso de agudización del pesimismo en el futuro. El efecto liquidez es menor cuando los inversionistas son aversos al riesgo o cuando existen restricciones a las ventas en corto, lo cual se traduce en v... Ver más

Guardado en:

Revista:

Revista Finanzas y Política Económica

ISSN:

2248-6046

EISSN:

2011-7663

Autores:

Melo, Jimmy

Editor:

UNIVERSIDAD CATÓLICA DE COLOMBIA

DOI:

10.14718/revfinanzpolitecon.2016.8.1.9

Volumen:

Año de publicación:

2015-01-01

Pagina inicial:

165

Pagina final:

187

Pais:

Colombia

Palabras claves:

Finanzas del comportamiento

Finanças do comportamento

Licencia:

Jimmy Melo - 2016

info:eu-repo/semantics/openAccess

http://purl.org/coar/access_right/c_abf2

id	metarevistapublica_ucatolica_revistafinanzasypoliticaeconomica_16_article_933
record_format	ojs
spelling	Arbitraje limitado bajo fondeo basado en desempeño. Limited arbitrage under performance-based funding. En escenarios donde el pesimismo incrementa, los arbitrajistas afectan los precios al inducir una recuperación en la demanda por un activo riesgoso (efecto demanda) o por su capacidad para transferir recursos a escenarios donde la liquidez escasea (efecto liquidez). Si el efecto liquidez está activo, los arbitrajistas responden a oleadas de pesimismo e incrementan su posición corta o reducen el monto invertido en el activo riesgoso hoy. En consecuencia, permiten que el precio caiga en el presente, con lo cual se estabilizan las pérdidas en el caso de agudización del pesimismo en el futuro. El efecto liquidez es menor cuando los inversionistas son aversos al riesgo o cuando existen restricciones a las ventas en corto, lo cual se traduce en volatilidad de los precios futuros. In scenarios of increasing pessimism, arbitrageurs affect processes by inducing a recuperation in demand for a risky asset (demand effect) or as a result of their capacity to transfer resources to scenarios of scarce liquidity (the liquidity effect). If the liquidity effect is active, arbitrageurs respond to waves of pessimism and, as a consequence, increase their short positions or reduce the amount invested in the risky asset today. In this manner, they allow the price to fall in the present, thereby stabilizing losses if pessimism sharpens in the future. The liquidity effect is smaller when investors are risk-averse or&nbsp;when there are short-term restrictions on sales, a situation that translates into volatility in future prices. Melo, Jimmy Behavioural finance Limited arbitrage Noise-trader risk Emergency sales Liquidity Finanzas del comportamiento Arbitraje limitado Noise-trader risk Ventas de emergencia Liquidez Finanças do comportamento Arbitragem limitada Noise-trader risk Vendas de emergência Liquidez 8 1 Artículo de revista Journal article 2016-01-01T00:00:00Z 2016-01-01T00:00:00Z 2015-01-01 application/pdf text/html Universidad Católica de Colombia Revista Finanzas y Política Económica 2248-6046 2011-7663 https://revfinypolecon.ucatolica.edu.co/article/view/933 10.14718/revfinanzpolitecon.2016.8.1.9 https://doi.org/10.14718/revfinanzpolitecon.2016.8.1.9 spa https://creativecommons.org/licenses/by-nc-sa/4.0/ Jimmy Melo - 2016 165 187 Allen, F. y Carlleti, E. (2008). The role of liquidity in financial crises. Federal Reserve of Kansas City Economic Policy Symposium: Maintaining Stability in a Changing Financial System, Jackson Hole, WY. Aristóteles (1999). Politics. Kitchener, CA: Batoche Books. Aspara, Jaakko. (2010). The spill-over of product evaluations to stock investment decisions: an experiment with finnish individual investors. Aalto University School of Economics. Barberis, N. y Richard, T. (2003). A survey of behavioral finance. En G. Constantinides, M. Harris y R. Stulz (Eds.), Handbook of the Economics of Finance (pp. 1051-1121). AS: Elsevier Science B.V. BBC News (2008). FSA introduces short-selling ban. Recuperado de http://news.bbc.co.uk/2/hi/business/7624012.stm Beber, A. y Marco, P (2013). Short-selling bans around the world: evidence from the 2007?09 crisis. The Journal of Finance, 68(1), 343-381 Bloomber Businessweek (2007). Hedge fund fees: the pressure builds. Recuperado de http://www.businessweek.com/magazine/content/07_20/b4034053.htm Bris, A, Goetzmann, W. y Zhu, N. (2007). Efficiency and the bear: short sales and markets around the world. Journal of Finance, 62, 1029-1079. Brunnermeier, M. y Pedersen, L. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22(6), 2201-2238. Campbell, J. y Kyle, A. (1993). Smart Money, noise Trading and Stock Price Behaviour.? Review of Economic Studies, 60(1), 1-34. Chuang, H-M. y Lo, H. (2009). The Study of Limited Arbitrage in Financial Markets of Taiwan. International Research Journal of Finance and Economics, 31, 164-179 Collins, M. y Ferguson, A. (2008). Australia?s broking sector is crinching. Recuperado http://www.theaustralian.com.au/stockbrokers-feeling-the-squeeze/story-fna7dq6e-1111117638688 Congdon, W., Kling, J. y Mullainathan, S. (2011). Policy and Choice: Public Finance through the Lens of Behavioral Economics. Washington: Brookings Institution Press. Coval, J. y Stafford, E. (2007). Asset Fire Sales (and Purchases) in Equity Markets. Journal of Financial Economics, 86(2), 479-512. Cutler, D., Poterba, J. y Summers, L. (1989). What moves stock prices?: moves in stock prices reflect something other than news about fundamental values. The Journal of Portfolio Management, 15(3), 4-12. D?Avolio, G.. (2002). The market for borrowing stock. Journal of Financial Economics, 66, 271-306. Depkie, C, Nguyen, G. y Sarkar, S. (2006). Agency costs, executive compensation, bonding and monitoring: A stochastic frontier approach. Annual Meeting of American Economic Association (AEA). Boston, MA. Dong, L. (2011). A Flow-Based Explanation for Return Predictability. http://personal.lse.ac.uk/loud/flows_20111230.pdf Edwards, F. R. (1999). Hedge Funds and the Collapse of Long-Term Capital Management. Journal of Economic Perspectives, 13(2), 189-210 Ellul, A., Jotikasthira, C. y Lundblad, C. (2010). Regulatory pressure and fire sales in the corporate bond market. Recuperado de http://www2.lse.ac.uk/fmg/documents/events/conferences/2010/contagion/ellul.pdf Expansión (2008). La CNMV también estrecha el cerco en las apuestas bajistas. Recuperado de September 22. http://www.expansion.com/2008/09/22/inversion/1167625.html Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417 Greenwood, R. y Thesmar, D. (2011). Stock Price Fragility? Journal of Finance Economics (artículo en prensa). Gromb, D. y Vayanos, D. (2002). Equilibrium and Welfare in Markets with Financially Constrained arbitrageurs. Journal of Financial Economics, 66(2-3), 361-407. Guttsman, J. (2011). WRAPUP 7-Europe curbs short-selling as credit markets swoon. Recuperado de http://www.reuters.com/article/2011/08/12/europe-banks-idUSLDE77A05U20110812 Jotikasthira, C., Lundblad, C. y Ramadorai, T. (2009). Asset Fire Sales and Purchases and the International Transmission of Financial Shocks. Centre for Economic Policy and Research Working Paper DP7595. Klibanoff, P., Lamont, O. y Wizman, T. (1998). Investor Reaction to Salient News in Closed-End Country Funds. The Journal of Finance, 53(2), 673-699 Kirschbaum, E. y Marsh, S. (2010). Germany to permanently ban some short selling: BaFin. Recuperado de http://www.reuters.com/article/2010/05/28/us-germany-bafin-shortselling-idUSTRE64R2PF20100528 Lamont, O. y Thaler, T. (2003). Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs. Journal of Political Economy, 111(2), 227-268. Long, B. et al. (1991). The Survival of noise traders in Financial Markets. The Journal of Business, 64(1), 1-19. Lowenstein, R. (2001). When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York, US: Random House Trade Paperbacks. Mas-Collel, A., Whiston, M. y Green, J. (1995). Microeconomy Theory. Oxford: Oxford University Press. Mitchell, M, Lasse, H. Pedersen y Pulvino, T. (2007). Slow moving capital. American Economic Review, 97(2), 215-220. Mitchell, M. y Pulvino, T. (2010). Arbitrage Crashes and the Speed of Capital. Recuperado de http://ssrn.com/abstract=1628261. Shiller, R. (2000). Irrational Exuberance. Nueva Jersey: Princeton University Press. Shiller, R. (2008). Financial Markets: Lecture 14 Transcript. Recuperado de http://oyc.yale.edu/economics/econ-252-08 Shleifer, A. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford, UK: Oxford University Press. Shleifer, A. y Summers, L. (1990). The noise trader Approach to Finance. Journal of Economic Perspectives, 4(2), 19-33. Shleifer, A. y Vishny, R. (1990). Equilibrium short horizons of investors and firms. American Economic Review Papers and Proceedings, 80, 148-153. Shleifer, A. y Vishny, R. (1992). Liquidation Values and Debt Capacity: A Market Equilibrium Approach. Journal of Finance, 47(4), 1343-1366. Shleifer, A. y Vishny, R. (1997). The Limits of Arbitrage. Journal of Finance, 52(1), 35-55. Shleifer, A. y Vishny, R. (2011). Fire Sales in Finance and Macroeconomics. Journal of Economic Perspectives, 25(1), 29-48. Stein, J. (2009). Presidential Address: Sophisticated investors and Market Efficiency.? The Journal of Finance, 54(4), 1517-1548. Tirole, J. (2012). Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning.? American Economic Review, 102(1), 29-59. Wildi, M. (2008). Real-time signal extraction: beyond maximum likelihood principles. Nueva York: Springer. Wurgler, J. y Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks? Journal of Business, 75, 583-608. https://revfinypolecon.ucatolica.edu.co/article/download/933/980 https://revfinypolecon.ucatolica.edu.co/article/download/933/2153 info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_dcae04bc http://purl.org/redcol/resource_type/ARTREV info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Publication
institution	UNIVERSIDAD CATÓLICA DE COLOMBIA
thumbnail	https://nuevo.metarevistas.org/UNIVERSIDADCATOLICADECOLOMBIA/logo.png
country_str	Colombia
collection	Revista Finanzas y Política Económica
title	Arbitraje limitado bajo fondeo basado en desempeño.
spellingShingle	Arbitraje limitado bajo fondeo basado en desempeño. Melo, Jimmy Behavioural finance Limited arbitrage Noise-trader risk Emergency sales Liquidity Finanzas del comportamiento Arbitraje limitado Noise-trader risk Ventas de emergencia Liquidez Finanças do comportamento Arbitragem limitada Noise-trader risk Vendas de emergência Liquidez
title_short	Arbitraje limitado bajo fondeo basado en desempeño.
title_full	Arbitraje limitado bajo fondeo basado en desempeño.
title_fullStr	Arbitraje limitado bajo fondeo basado en desempeño.
title_full_unstemmed	Arbitraje limitado bajo fondeo basado en desempeño.
title_sort	arbitraje limitado bajo fondeo basado en desempeño.
title_eng	Limited arbitrage under performance-based funding.
description	En escenarios donde el pesimismo incrementa, los arbitrajistas afectan los precios al inducir una recuperación en la demanda por un activo riesgoso (efecto demanda) o por su capacidad para transferir recursos a escenarios donde la liquidez escasea (efecto liquidez). Si el efecto liquidez está activo, los arbitrajistas responden a oleadas de pesimismo e incrementan su posición corta o reducen el monto invertido en el activo riesgoso hoy. En consecuencia, permiten que el precio caiga en el presente, con lo cual se estabilizan las pérdidas en el caso de agudización del pesimismo en el futuro. El efecto liquidez es menor cuando los inversionistas son aversos al riesgo o cuando existen restricciones a las ventas en corto, lo cual se traduce en volatilidad de los precios futuros.
description_eng	In scenarios of increasing pessimism, arbitrageurs affect processes by inducing a recuperation in demand for a risky asset (demand effect) or as a result of their capacity to transfer resources to scenarios of scarce liquidity (the liquidity effect). If the liquidity effect is active, arbitrageurs respond to waves of pessimism and, as a consequence, increase their short positions or reduce the amount invested in the risky asset today. In this manner, they allow the price to fall in the present, thereby stabilizing losses if pessimism sharpens in the future. The liquidity effect is smaller when investors are risk-averse or&nbsp;when there are short-term restrictions on sales, a situation that translates into volatility in future prices.
author	Melo, Jimmy
author_facet	Melo, Jimmy
topic	Behavioural finance Limited arbitrage Noise-trader risk Emergency sales Liquidity Finanzas del comportamiento Arbitraje limitado Noise-trader risk Ventas de emergencia Liquidez Finanças do comportamento Arbitragem limitada Noise-trader risk Vendas de emergência Liquidez
topic_facet	Behavioural finance Limited arbitrage Noise-trader risk Emergency sales Liquidity Finanzas del comportamiento Arbitraje limitado Noise-trader risk Ventas de emergencia Liquidez Finanças do comportamento Arbitragem limitada Noise-trader risk Vendas de emergência Liquidez
topicspa_str_mv	Finanzas del comportamiento Arbitraje limitado Noise-trader risk Ventas de emergencia Liquidez Finanças do comportamento Arbitragem limitada Noise-trader risk Vendas de emergência Liquidez
citationvolume	8
citationissue	1
publisher	Universidad Católica de Colombia
ispartofjournal	Revista Finanzas y Política Económica
source	https://revfinypolecon.ucatolica.edu.co/article/view/933
language	spa
format	Article
rights	https://creativecommons.org/licenses/by-nc-sa/4.0/ Jimmy Melo - 2016 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2
references	Allen, F. y Carlleti, E. (2008). The role of liquidity in financial crises. Federal Reserve of Kansas City Economic Policy Symposium: Maintaining Stability in a Changing Financial System, Jackson Hole, WY. Aristóteles (1999). Politics. Kitchener, CA: Batoche Books. Aspara, Jaakko. (2010). The spill-over of product evaluations to stock investment decisions: an experiment with finnish individual investors. Aalto University School of Economics. Barberis, N. y Richard, T. (2003). A survey of behavioral finance. En G. Constantinides, M. Harris y R. Stulz (Eds.), Handbook of the Economics of Finance (pp. 1051-1121). AS: Elsevier Science B.V. BBC News (2008). FSA introduces short-selling ban. Recuperado de http://news.bbc.co.uk/2/hi/business/7624012.stm Beber, A. y Marco, P (2013). Short-selling bans around the world: evidence from the 2007?09 crisis. The Journal of Finance, 68(1), 343-381 Bloomber Businessweek (2007). Hedge fund fees: the pressure builds. Recuperado de http://www.businessweek.com/magazine/content/07_20/b4034053.htm Bris, A, Goetzmann, W. y Zhu, N. (2007). Efficiency and the bear: short sales and markets around the world. Journal of Finance, 62, 1029-1079. Brunnermeier, M. y Pedersen, L. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22(6), 2201-2238. Campbell, J. y Kyle, A. (1993). Smart Money, noise Trading and Stock Price Behaviour.? Review of Economic Studies, 60(1), 1-34. Chuang, H-M. y Lo, H. (2009). The Study of Limited Arbitrage in Financial Markets of Taiwan. International Research Journal of Finance and Economics, 31, 164-179 Collins, M. y Ferguson, A. (2008). Australia?s broking sector is crinching. Recuperado http://www.theaustralian.com.au/stockbrokers-feeling-the-squeeze/story-fna7dq6e-1111117638688 Congdon, W., Kling, J. y Mullainathan, S. (2011). Policy and Choice: Public Finance through the Lens of Behavioral Economics. Washington: Brookings Institution Press. Coval, J. y Stafford, E. (2007). Asset Fire Sales (and Purchases) in Equity Markets. Journal of Financial Economics, 86(2), 479-512. Cutler, D., Poterba, J. y Summers, L. (1989). What moves stock prices?: moves in stock prices reflect something other than news about fundamental values. The Journal of Portfolio Management, 15(3), 4-12. D?Avolio, G.. (2002). The market for borrowing stock. Journal of Financial Economics, 66, 271-306. Depkie, C, Nguyen, G. y Sarkar, S. (2006). Agency costs, executive compensation, bonding and monitoring: A stochastic frontier approach. Annual Meeting of American Economic Association (AEA). Boston, MA. Dong, L. (2011). A Flow-Based Explanation for Return Predictability. http://personal.lse.ac.uk/loud/flows_20111230.pdf Edwards, F. R. (1999). Hedge Funds and the Collapse of Long-Term Capital Management. Journal of Economic Perspectives, 13(2), 189-210 Ellul, A., Jotikasthira, C. y Lundblad, C. (2010). Regulatory pressure and fire sales in the corporate bond market. Recuperado de http://www2.lse.ac.uk/fmg/documents/events/conferences/2010/contagion/ellul.pdf Expansión (2008). La CNMV también estrecha el cerco en las apuestas bajistas. Recuperado de September 22. http://www.expansion.com/2008/09/22/inversion/1167625.html Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417 Greenwood, R. y Thesmar, D. (2011). Stock Price Fragility? Journal of Finance Economics (artículo en prensa). Gromb, D. y Vayanos, D. (2002). Equilibrium and Welfare in Markets with Financially Constrained arbitrageurs. Journal of Financial Economics, 66(2-3), 361-407. Guttsman, J. (2011). WRAPUP 7-Europe curbs short-selling as credit markets swoon. Recuperado de http://www.reuters.com/article/2011/08/12/europe-banks-idUSLDE77A05U20110812 Jotikasthira, C., Lundblad, C. y Ramadorai, T. (2009). Asset Fire Sales and Purchases and the International Transmission of Financial Shocks. Centre for Economic Policy and Research Working Paper DP7595. Klibanoff, P., Lamont, O. y Wizman, T. (1998). Investor Reaction to Salient News in Closed-End Country Funds. The Journal of Finance, 53(2), 673-699 Kirschbaum, E. y Marsh, S. (2010). Germany to permanently ban some short selling: BaFin. Recuperado de http://www.reuters.com/article/2010/05/28/us-germany-bafin-shortselling-idUSTRE64R2PF20100528 Lamont, O. y Thaler, T. (2003). Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs. Journal of Political Economy, 111(2), 227-268. Long, B. et al. (1991). The Survival of noise traders in Financial Markets. The Journal of Business, 64(1), 1-19. Lowenstein, R. (2001). When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York, US: Random House Trade Paperbacks. Mas-Collel, A., Whiston, M. y Green, J. (1995). Microeconomy Theory. Oxford: Oxford University Press. Mitchell, M, Lasse, H. Pedersen y Pulvino, T. (2007). Slow moving capital. American Economic Review, 97(2), 215-220. Mitchell, M. y Pulvino, T. (2010). Arbitrage Crashes and the Speed of Capital. Recuperado de http://ssrn.com/abstract=1628261. Shiller, R. (2000). Irrational Exuberance. Nueva Jersey: Princeton University Press. Shiller, R. (2008). Financial Markets: Lecture 14 Transcript. Recuperado de http://oyc.yale.edu/economics/econ-252-08 Shleifer, A. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford, UK: Oxford University Press. Shleifer, A. y Summers, L. (1990). The noise trader Approach to Finance. Journal of Economic Perspectives, 4(2), 19-33. Shleifer, A. y Vishny, R. (1990). Equilibrium short horizons of investors and firms. American Economic Review Papers and Proceedings, 80, 148-153. Shleifer, A. y Vishny, R. (1992). Liquidation Values and Debt Capacity: A Market Equilibrium Approach. Journal of Finance, 47(4), 1343-1366. Shleifer, A. y Vishny, R. (1997). The Limits of Arbitrage. Journal of Finance, 52(1), 35-55. Shleifer, A. y Vishny, R. (2011). Fire Sales in Finance and Macroeconomics. Journal of Economic Perspectives, 25(1), 29-48. Stein, J. (2009). Presidential Address: Sophisticated investors and Market Efficiency.? The Journal of Finance, 54(4), 1517-1548. Tirole, J. (2012). Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning.? American Economic Review, 102(1), 29-59. Wildi, M. (2008). Real-time signal extraction: beyond maximum likelihood principles. Nueva York: Springer. Wurgler, J. y Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks? Journal of Business, 75, 583-608.
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