Arbitraje limitado bajo fondeo basado en desempeño
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 re...
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| Format: | Article |
| Language: | English |
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Universidad Católica de Colombia
2016-03-01
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| Series: | Revista Finanzas y Política Económica |
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| Online Access: | http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/933/980 |
| _version_ | 1797642940350201856 |
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| author | Jimmy Melo |
| author_facet | Jimmy Melo |
| author_sort | Jimmy Melo |
| collection | DOAJ |
| description | 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 when there are short-term restrictions on sales, a situation that translates into volatility in future prices. |
| first_indexed | 2024-03-11T14:08:27Z |
| format | Article |
| id | doaj.art-a883027ad37a46db9fc2328d41317f01 |
| institution | Directory Open Access Journal |
| issn | 2248-6046 2011-7663 |
| language | English |
| last_indexed | 2024-03-11T14:08:27Z |
| publishDate | 2016-03-01 |
| publisher | Universidad Católica de Colombia |
| record_format | Article |
| series | Revista Finanzas y Política Económica |
| spelling | doaj.art-a883027ad37a46db9fc2328d41317f012023-11-02T01:17:18ZengUniversidad Católica de ColombiaRevista Finanzas y Política Económica2248-60462011-76632016-03-0181165187Arbitraje limitado bajo fondeo basado en desempeñoJimmy Melo0Universidad CentralIn 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 when there are short-term restrictions on sales, a situation that translates into volatility in future prices.http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/933/980behavioural financelimited arbitragenoise-trader riskemergency salesliquidity |
| spellingShingle | Jimmy Melo Arbitraje limitado bajo fondeo basado en desempeño Revista Finanzas y Política Económica behavioural finance limited arbitrage noise-trader risk emergency sales liquidity |
| title | 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_short | Arbitraje limitado bajo fondeo basado en desempeño |
| title_sort | arbitraje limitado bajo fondeo basado en desempeno |
| topic | behavioural finance limited arbitrage noise-trader risk emergency sales liquidity |
| url | http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/933/980 |
| work_keys_str_mv | AT jimmymelo arbitrajelimitadobajofondeobasadoendesempeno |