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

资本市场有效性和套利有效性

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

摘要：资本市场的有效性要求市场上资金能够迅速流动，以使市场异象能够被套利所消灭。文章考察了基于市场异象的量化策略资金流动与这种策略下投资表现之间的关系。当资金流动迅速的时候，量化基金能够高效地实施这些套利策略，导致未来依靠异象的策略收益率降低，反之亦然。因而，随着时间流逝，横截面上权益市场的有效性随着套利资本可得性的变动而变动。

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.

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

翻译：傅亚平