Articles scientifiques

The Dynamics of Financially Constrained Arbitrage

D. GROMB, D. VAYANOS

The Journal of Finance

A paraître

Départements : Finance, GREGHEC (CNRS)

Mots clés : Arbitrage, financial constraints, market segmentation, liquidity, contagion


We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns increase, and this allows capital to be gradually replenished. Spreads increase more for trades with volatile fundamentals or more time to convergence. Arbitrageurs cut their positions more in those trades, except when volatility concerns the hedgeable component. Financial constraints yield a positive cross-sectional relationship between spreads/returns and betas with respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers arbitrageurs’ risk and price volatility

The effects of investment bank rankings: Evidence from M&A league tables

F. DERRIEN, O. DESSAINT

Review of Finance

A paraître

Départements : Finance, GREGHEC (CNRS)


The Real Effects of Lending Relationships on Innovative Firms and Inventor Mobility

J. HOMBERT, A. MATRAY

Review of Financial Studies

A paraître

Départements : Finance, GREGHEC (CNRS)

Mots clés : Lending relationships, Soft information, Innovation, Inventors

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2082403


We study whether relationship lending is conducive to the financing of innovation. Exploiting a negative shock to relationships, we show that it reduces the number of innovative firms, especially those that depend more on relationship lending such as small, young, and opaque firms. This credit supply shock leads to reallocation of inventors whereby young and promising inventors leave small firms and move out of geographical areas where lending relationships are hurt. Overall, our results suggest that credit markets affect both the level of innovation activity and the distribution of innovative human capital across the econom

Who are the value and growth investors?

S. BETERMIER, L. CALVET, P. SODINI

The Journal of Finance

A paraître

Départements : Finance

Mots clés : Asset pricing, value premium, household finance, portfolio allocation, human capital, factor-based investing

http://dx.doi.org/10.2139/ssrn.2426823


This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the portfolio implications of risk-based theories of the value premium

Wholesale Funding Dry-Ups

D. THESMAR, C. PERIGNON, G. VUILLEMEY

The Journal of Finance

A paraître

Départements : Finance, GREGHEC (CNRS)



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