A case study of short-sale constraints and limits to arbitrage

被引：3

作者：

Easton, Steve ^{[1
]}

Pinder, Sean ^{[2
]}

Uylangco, Katherine ^{[1
]}

机构：

[1] Univ Newcastle, Newcastle Business Sch, Callaghan, NSW 2308, Australia

[2] Univ Melbourne, Dept Finance, Melbourne, Vic 3010, Australia

来源：

JOURNAL OF BANKING & FINANCE | 2013年 / 37卷 / 10期

关键词：

Limits to arbitrage; Short-selling restrictions; Inferring trade direction;

D O I：

10.1016/j.jbankfin.2013.07.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper uses a unique data set of trades in a unique pair of securities that enables the precise identification of individual broker activity and the trade direction of that activity. We find direct evidence that the imposition (removal) of short-sale constraints limits (generates) trading activity consistent with brokers exploiting apparent mispricing. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：3924 / 3929

页数：6

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