Capital Market Efficiency and Arbitrage Efficacy
研究了基于资本市场异象的量化策略资金流入与后续表现的关系，发现资金流入高时套利更有效，异象盈利降低，反之亦然。
Abstract Efficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relation between flows to a quantitative (quant) strategy that is based on capital market anomalies and the subsequent performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively, which in turn leads to lower profitability of market anomalies in the future, and vice versa. Thus, the degree of cross-sectional equity market efficiency varies across time with the availability of arbitrage capital.