최원창 연구실

Abstract. I study the equilibrium speed of arbitrage between assets with identical cash flows when hedgers and arbitrageurs face trading costs. In the symmetric baseline, inventory adjusts at a speed between the groups’ individual trading speeds at the same equilibrium prices. The spread compensates arbitrageurs for trading costs and inventory risk. The spread’s response to demand shocks determines inventory risk and hence optimal trades. Lower arbitrageur trading costs can increase the immediate trading response to hedging demand yet slow inventory adjustment by reducing spread volatility. Arbitrageur composition can change prices and trading even when aggregate trading and risk-bearing capacities are unchanged. Abstract. I study how uncertainty about the source of price pressure affects risk transfer when portfolio adjustment is costly. Uninformed investors infer hedging demand from prices and dividends, while expected future holdings affect current prices and return risk. More precise common signals can increase risk absorption over time while reducing return risk and slowing adjustment toward a given desired position. With imprecise signals, lower trading costs can increase the compensation required for informed investors’ nontraded-income risk through changes in the covariance between income and asset returns. The initial price decline after a hedging-demand shock can therefore deepen despite greater risk absorption. When learning relies on prices and dividends alone, the relative persistence of inference errors and hedging demand determines whether measured market inelasticity rises, falls, or remains constant across observation horizons. Sharing signals among uninformed investors can raise average portfolio values for informed and uninformed investors while reduc