Limits to Arbitrase — Mispricing vs Modal Arbitraseur

Limits to arbitrase — model Shleifer-Vishny (1997) + noise trader risk De Long et al. (1990)

κ — Kekuatan noise trader (tekanan jual/beli irasional) 0 = pasar tenang, tinggi = sentimen ekstrem mendorong harga menjauh H — Horizont arbitraseur (berapa lama modal bisa ditahan) Pendek = redemption pressure dana eksternal; panjang = fleksibel A — Modal arbitraseur relatif vs noise trader Kecil = undercapitalized, rawan margin call; besar = kapital cukup

Mispricing persisten (max)

+18%

Sistem: level efisiensi

58/100

Peluang arbitraseur bangkrut duluan

31%

Fundamental (nilai wajar) Harga pasar (noise-driven) Peak mispricing