NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Todd Pulvino

Contact and additional information for this authorAll publicationsWorking Papers only

Working Papers and Chapters

June 2010Arbitrage Crashes and the Speed of Capital
with Mark Mitchell
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers
January 2007Slow Moving Capital
with Mark Mitchell, Lasse Heje Pedersen: w12877
We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.

Contact and additional information for this authorAll publicationsWorking Papers only

 
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