Investor Sentiment, Limits to Arbitrage and Private Market Returns
研究了投资者情绪与私人市场回报的关系，发现情绪对后续回报有显著正向影响，且由于套利限制，私人商业房地产市场易出现长期错误定价。
This article examines the relation between investor sentiment and returns in private markets. Relative to more liquid public markets, private investment markets exhibit significant limits to arbitrage that restrict an investor's ability to counteract mispricing. Using vector autoregressive models, we find a positive and economically significant relation between investor sentiment and subsequent private market returns. We provide further long‐horizon regression evidence suggesting that private commercial real estate markets are susceptible to prolonged periods of sentiment‐induced mispricing as the inability to short‐sell in periods of overvaluation and restricted access to credit in periods of undervaluation prevents arbitrageurs from entering the market.