The Growth and Limits of Arbitrage: Evidence from Short Interest
提出新方法推断量化股票套利策略的资本规模，发现自1980年代末以来价值与动量策略资本显著增长，导致策略回报下降，但套利资本在策略表现最佳时最受限，表明增长未必完全消除回报。
We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted in lower strategy returns. However, consistent with theories of limited arbitrage, we show that strategy-level capital flows are influenced by past strategy returns and strategy return volatility and that arbitrage capital is most limited during times when strategies perform best. This suggests that the growth of arbitrage capital may not completely eliminate returns to these strategies.