行为金融学-有限套利期望理论的几篇大作-经管之家官网！

行为金融学方面论文
有限套利，期望理论，英文太多看不懂 大家分享下题目如下：
Limited Arbitrage in Equity Markets
Large Events and Limited Arbitrage: Evidence from a Japanese Stock Index Redefinition
Limited arbitrage in mergers and acquisitions
LIMITED ARBITRAGE AND SHORT SALES RESTRICTIONS: EVIDENCE FROMTHE OPTIONS MARKETS
Further Reflections on Prospect Theory
Risk Aversion in Cumulative Prospect Theory
Skill reputation, prospect theory, and regret theory
PROSPECT THEORY AND ASSET PRICES 等
部分介绍：

Limited arbitrage in mergers and acquisitions

a,*, Malcolm Baker
b*,Serkan Savasoglu
a Harvard School of Business Administration, Harvard University, Boston, MA 02163, USA
b Morgan Stanley Dean Witter, New York, NY 10036, USA
(Received 24 April 2000; accepted 6 June 2001)

Abstract
A diversified portfolio of risk arbitrage positions produces an abnormal return of 0.6% to
0.9% per month over the period from 1981 to 1996. We trace these profits to practical limits on
risk arbitrage. In our model of risk arbitrage, arbitrageurs’ risk-bearing capacity is constrained by
deal completion risk and the size of the position they hold. Consistent with this model, we
document that the returns to risk arbitrage increase in an ex ante measure of completion risk and
target size. We also examine the influence of the general supply of arbitrage capital, measured by
the total equity holdings of arbitrageurs, on arbitrage profits.
JEL classification: G14; G23; G34
Keywords: Arbitrage; Mergers and acquisitions; Market Efficiency