Journal of Financial and Quantitative Analysis / Volume 51 / No.2 / April 2016

資本市場有效性和套利有效性

作者：Ferhat Akbas, Will J. Armstrong, Sorin Sorescu, Avanidhar Subrahmanyam

摘要：資本市場的有效性要求市場上資金能夠迅速流動，以使市場異象能夠被套利所消滅。文章考察了基于市場異象的量化策略資金流動與這種策略下投資表現之間的關系。當資金流動迅速的時候，量化基金能夠高效地實施這些套利策略，導緻未來依靠異象的策略收益率降低，反之亦然。因而，随着時間流逝，橫截面上權益市場的有效性随着套利資本可得性的變動而變動。

Capital Market Efficiency and Arbitrage Efficacy

Ferhat Akbas, Will J. Armstrong, Sorin Sorescu, Avanidhar Subrahmanyam

ABSTRACT

Efficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relation between flows to a quantitative (quant) strategy that is based on capital market anomalies and the subsequent performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively, which in turn leads to lower profitability of market anomalies in the future, and vice versa. Thus, the degree of cross-sectional equity market efficiency varies across time with the availability of arbitrage capital.

原文鍊接：http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=10362123&fulltextType=RA&fileId=S0022109016000223

翻譯：傅亞平