REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx057·Published: 10 July 2017

开放式组织结构与套利限制

作者：Mariassunta Giannetti(Stockholm School of Economics, CEPR, and ECGI), Bige Kahraman(Sa?d Business School, University of Oxford)

摘要：我们提供证据表明，开放式组织结构破坏了资产管理人员产生长期错误定价的动机。我们将开放式基金与封闭式基金进行了比较。封闭式基金比开放式基金购买了价格更加被低估的股票，特别是如果股票涉及高套利风险。然后，我们的结果显示，具有较低开放程度的高限制的对冲基金也可以在较大程度上与其他对冲基金进行长期的错误定价交易。我们的分析表明，开放式组织结构不利于长期风险套利。

Open-End Organizational Structures and Limits to Arbitrage

Mariassunta Giannetti(Stockholm School of Economics, CEPR, and ECGI), Bige Kahraman(Sa?d Business School, University of Oxford)

ABSTRACT

We provide evidence that open-end organizational structures undermine incentives for asset managers to attack long-term mispricing. We compare open-end funds with closed-end funds. Closed-end funds purchase more underpriced stocks than do open-end funds, especially if the stocks involve high arbitrage risk. We then show that hedge funds with highshare restrictions having a lower degree of open-endedness also trade against long-term mispricing to a larger extentthan do other hedge funds. Our analysis suggests that open-end organizational structures are not conducive to long-term risky arbitrage.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx057/3950278/Open-End-Organizational-Structures-and-Limits-to?redirectedFrom=fulltext

翻译：何杉