Presidential Address: Sophisticated Investors and Market Efficiency
探讨股票市场由散户转向专业投资者主导是否提升市场效率，分析拥挤交易和杠杆带来的外部性，指出资本监管可能缓解杠杆引发的崩盘风险。
ABSTRACT Stock‐market trading is increasingly dominated by sophisticated professionals, as opposed to individual investors. Will this trend ultimately lead to greater market efficiency? I consider two complicating factors. The first is crowding—the fact that, for a wide range of “unanchored” strategies, an arbitrageur cannot know how many of his peers are simultaneously entering the same trade. The second is leverage—when an arbitrageur chooses a privately optimal leverage ratio, he may create a fire‐sale externality that raises the likelihood of a severe crash. In some cases, capital regulation may be helpful in dealing with the latter problem.