Doukas, John A.; Kim, Chansog; Pantzalis, Christos - In: Journal of Financial and Quantitative Analysis 45 (2010) 04, pp. 907-934
In this paper we examine the relation between equity mispricing and arbitrage risk and find that stocks with high arbitrage risk have higher estimated mispricing than stocks with low arbitrage risk. These results are not limited to high book-to-market or small capitalization stocks, and they are...