Purchase - $8.00 CEPR Subscribers Download
Add Paper to My Library
Permalink
Using these links will ensure access to this page indefinitely
Copy URL

Who Trades Against Mispricing?

CEPR Discussion Paper No. DP11156

75 Pages Posted: 18 Apr 2016

See all articles by Mariassunta Giannetti

Mariassunta Giannetti

Stockholm School of Economics; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Swedish House of Finance

Bige Kahraman

University of Oxford - Said Business School; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: March 2016

Abstract

We provide evidence that open-end structures undermine asset managers' incentives to attack long-term mispricing. First, we compare open-end funds with closed-end funds. Closed-end funds purchase more underpriced stocks than open-end funds, especially if the stocks involve high arbitrage risk. We then show that hedge funds with high share restrictions, having a lower degree of open-ending, also trade against long-term mispricing to a larger extent than other hedge funds. Our analysis suggests that open-end organizational structures are an impediment to arbitrage.

Keywords: Capital Structure, Flow performance Sensitivity, Limits to Arbitrage, Market Efficiency

JEL Classification: G12, G23

Suggested Citation

Giannetti, Mariassunta and Kahraman, Bige, Who Trades Against Mispricing? (March 2016). CEPR Discussion Paper No. DP11156, Available at SSRN: https://ssrn.com/abstract=2766449

Mariassunta Giannetti (Contact Author)

Stockholm School of Economics ( email )

P.O. Box 6501
Sveavagen 65
SE-113 83 Stockholm
Sweden
+46 8 736 9607 (Phone)
+46 8 312 327 (Fax)

HOME PAGE: http://sites.google.com/site/mariassuntagiannetti/Home

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

HOME PAGE: http://www.ecgi.org

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

Bige Kahraman

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Purchase - $8.00 CEPR Subscribers Download

Do you have a job opening that you would like to promote on SSRN?

Place Job Opening

Paper statistics

Downloads
0
Abstract Views
778
PlumX Metrics

Related eJournals