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- Publisher Website: 10.1111/jofi.13264
- Scopus: eid_2-s2.0-85166902678
- WOS: WOS:001044199700001
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Article: Complex Asset Markets
Title | Complex Asset Markets |
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Authors | |
Issue Date | 1-Oct-2023 |
Publisher | Wiley |
Citation | The Journal of Finance, 2023, v. 78, n. 5, p. 2519-2562 How to Cite? |
Abstract | Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return trade-off, participation is limited. This is because effective Sharpe ratios in complex asset markets vary with investors' expertise. Investors with higher expertise, better models, and lower resulting idiosyncratic risk exposures realize higher Sharpe ratios. Their demand deters entry by less sophisticated investors. As predicted by our model, market dislocations are characterized by an increase in idiosyncratic risk, investor exit, and persistently elevated alphas and Sharpe ratios. The selection effect from higher expertise agents' more favorable Sharpe ratios is unique to our model and key to our main results. |
Persistent Identifier | http://hdl.handle.net/10722/333946 |
ISSN | 2023 Impact Factor: 7.6 2023 SCImago Journal Rankings: 19.139 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Eisfeldt, AL | - |
dc.contributor.author | Lustig, HANNO | - |
dc.contributor.author | Zhang, L | - |
dc.date.accessioned | 2023-10-10T03:14:48Z | - |
dc.date.available | 2023-10-10T03:14:48Z | - |
dc.date.issued | 2023-10-01 | - |
dc.identifier.citation | The Journal of Finance, 2023, v. 78, n. 5, p. 2519-2562 | - |
dc.identifier.issn | 0022-1082 | - |
dc.identifier.uri | http://hdl.handle.net/10722/333946 | - |
dc.description.abstract | <p>Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return trade-off, participation is limited. This is because effective Sharpe ratios in complex asset markets vary with investors' expertise. Investors with higher expertise, better models, and lower resulting idiosyncratic risk exposures realize higher Sharpe ratios. Their demand deters entry by less sophisticated investors. As predicted by our model, market dislocations are characterized by an increase in idiosyncratic risk, investor exit, and persistently elevated alphas and Sharpe ratios. The selection effect from higher expertise agents' more favorable Sharpe ratios is unique to our model and key to our main results.<br></p> | - |
dc.language | eng | - |
dc.publisher | Wiley | - |
dc.relation.ispartof | The Journal of Finance | - |
dc.title | Complex Asset Markets | - |
dc.type | Article | - |
dc.identifier.doi | 10.1111/jofi.13264 | - |
dc.identifier.scopus | eid_2-s2.0-85166902678 | - |
dc.identifier.volume | 78 | - |
dc.identifier.issue | 5 | - |
dc.identifier.spage | 2519 | - |
dc.identifier.epage | 2562 | - |
dc.identifier.eissn | 1540-6261 | - |
dc.identifier.isi | WOS:001044199700001 | - |
dc.identifier.issnl | 0022-1082 | - |