the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor … sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to … arbitrage negatively affect momentum profits …

's value investing paradigm. We propose that if, instead of getting fixated on investors' optimal rational decision making, we … adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision making is by … definition imperfect due to psychological biases, we could derive better investment decision making processes …

decision making, we adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision … decision making processes …

We investigate the relationship between risk-adjusted returns, arbitrage risk and arbitrage asymmetry, and investor … sentiment in the European stock market. Under the assumption that idiosyncratic volatility (IVOL) causes arbitrage risk, we … in two mispricing categories, we uncover evidence of arbitrage risk especially in the overpriced group: the highest IVOL …

We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers …

are not fully rational. The field has two building blocks: limits to arbitrage , which argues that it can be difficult for …