A case study of short-sale constraints and limits to arbitrage
Easton, Steve, Pinder, Sean, & Uylangco, Katherine (2013) A case study of short-sale constraints and limits to arbitrage. Journal of Banking and Finance, 37(10), pp. 3924-3929.
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.
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|Item Type:||Journal Article|
|Keywords:||Limits to arbitrage, Short-selling restrictions, Inferring trade direction|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2013 Elsevier B.V.|
|Deposited On:||13 Aug 2015 01:52|
|Last Modified:||17 Aug 2015 05:27|
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