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

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.

MoreLess

Year of publication:	2013
Authors:	Easton, Steve ; Pinder, Sean ; Uylangco, Katherine
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 10, p. 3924-3929
Publisher:	Elsevier
Subject:	Limits to arbitrage \| Short-selling restrictions \| Inferring trade direction

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Classification:	G00 - Financial Economics. General ; G01 - Financial Crises ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738286