Synchronized Arbitrage and the Value of Public Announcements

Roy Zuckerman: Synchronized Arbitrage and the Value of Public Announcements
July 22, 2012

Hedge fund managers frequently announce positions they are taking in stocks, whether short or long, and offer a public rationale for their actions. Why do they do this? In this paper, I empirically investigate one prominent explanation for these announcements, namely that they serve as a public synchronizing signal for arbitrageurs.

Abreu and Brunnermeier (2002) discuss this notion of synchronized arbitrage. They hypothesize that a single arbitrageur is incapable or unwilling to correct a large mispricing, and that a coordinated action by a critical proportion of arbitrageurs . . .

SORRY!

This content is exclusively for paying members. Access all of our content on including years of timeless investment news and in depth analysis for only a few dollars a month by signing up here while also supporting quality content and journalism, or learn more about our premium content here

If you are subscribed and having an account error please clear cache and then cookies if that does not work email support@valuewalk.com or click chat button and we will get back to you as quick as humanly possible


Saved Articles
X
TextTExtLInkTextTExtLInk

Subscribe to our mailing list

* indicates required

Opt out of occasional 3rd party offers


0