This course covers research on the role of informational arbitrage in asset pricing. Our starting point is the observation that, with costly information, equilibrium prices will invariably reflect some mispricing. The existence of mispricing introduces a role for informational arbitrage, whereby some agents invest resources to become informed about the mispricing, with hopes of profiting from it. We review recent evidence on this process and reflect on its implications for future market-related research. We also discuss how academic research might help lower information/arbitrage costs.
Eric So is the Sloan Distinguished Professor of Management and an Associate Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.
His research interests include equity valuation, asset pricing, option markets, security analysts, and limits to arbitrage with a focus on the forces and mechanisms that shape the information content of market prices.
He holds an MA in economics from Cornell University and a PhD in business administration from Stanford University's Graduate School of Business. Prior to completing his PhD, So worked as a research analyst at the Nasdaq Stock Market in the Economic Research department.
