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Asset pricing with arbitrage activity

机译：带有套利活动的资产定价

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摘要

We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility. Such credit is valuable as it allows arbitrageurs to exploit the limited arbitrage opportunities that emerge endogenously in reaction to the demand imbalance generated by the portfolio constraint The model is solved in closed-form, and we show that, in contrast to existing models with frictions and logarithmic agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect We show that these results are due to the fact that arbitrageurs amplify fundamental shocks by levering up in good times and deleveraging in bad times. (c) 2014 Elsevier B.V. All rights reserved.
机译：我们研究了由三组近视代理商构成的经济体：受约束的代理商受投资组合约束，限制了他们的冒险行为；不受约束的代理商受标准的非负财富约束约束；套利者可以使用信贷工具。这种信用是有价值的，因为它允许套利者利用由投资组合约束产生的需求不平衡而内生的有限套利机会。该模型以封闭形式求解，并且我们证明，与现有的带有摩擦力和对数主体，套利活动会影响价格水平，并产生过度的波动性和杠杆效应。我们证明，这些结果是由于套利者通过在好时光中杠杆化和在坏时光去杠杆化而放大了基本冲击的事实。 （c）2014 Elsevier B.V.保留所有权利。

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