@techreport{NBERw12877,
 title = "Slow Moving Capital",
 author = "Mark Mitchell and Lasse Heje Pedersen and Todd Pulvino",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "12877",
 year = "2007",
 month = "January",
 URL = "http://www.nber.org/papers/w12877",
 abstract = {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.},
}