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.
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页码：3924 / 3929
页数：6
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