Slow Moving Capital

Positive feedback trading in stock index futures: International evidence

“…Therefore, if the mispricing deepens, they will be inclined to withdraw money or liquidate collateral, forcing the fund to liquidate its position ahead of time. Recently, Mitchell, Pedersen and Pulvino (2007) empirically document such effects for the convertible bond market and merger arbitrage during the 1987 market crash.…”

What explains the dynamics of 100 anomalies?

“…However, most proxies exhibit substantial autocorrelation (see figure 1) so that at least slow moving capital effects (e.g. Mitchell et al (2007)) should partly be 5 More precisely, the Vix and the illiquidity measure tend to become more significant if we use their raw level in the previous month. They remain insignificant if we rely on the dummy approach distinguishing between high and low periods of limits to arbitrage.…”

Systemic risk: the dynamics of model banking systems

“…This is unrealistic. There is a significant literature on 'fire sales' and their general effect on liquidity; that is, their tendency to depress the value of other institutions' external assets (Pulvino 1998;Cifuentes et al 2005;Kaufman 2005;Coval & Stafford 2007;Mitchell et al 2007). As a first step, it is useful to consider such effects on the disposal of assets of a failed bank, ignoring for the moment the indirect effects elsewhere in the system.…”