market efficiency

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Replication Data: The Value of Arbitrage

Creators: Eduardo Dávila, Daniel Graves, and Cecilia Parlatore
Publication Date: 2023
Creators: Eduardo Dávila, Daniel Graves, and Cecilia Parlatore

This dataset, hosted on Harvard Dataverse, contains the replication data for the study “The Value of Arbitrage” (Dávila, Graves & Parlatore, 2024, Journal of Political Economy). It includes financial market data used to examine the welfare value of arbitrage activity and how arbitrage contributes to price discovery, market efficiency, and overall social welfare, with implications for financial regulation and market design.

Creators: Andrea M. Buffa and Idan Hodor

This dataset, hosted on Mendeley Data, contains the replication data for the study “Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices” (Buffa & Hodor, 2023, Journal of Financial Economics). It includes fund-level and stock-level data used to examine how institutional investors with heterogeneous benchmark indices, such as different index compositions, generate excess co-movement among asset prices, and the implications for price discovery and market efficiency.

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