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.

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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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2 citations in Scopus
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2 citations in Web of Science®

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ID Code: 86507
Item Type: Journal Article
Refereed: Yes
Keywords: Limits to arbitrage, Short-selling restrictions, Inferring trade direction
DOI: 10.1016/j.jbankfin.2013.07.012
ISSN: 0378-4266
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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