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Citations for "Limited Arbitrage in Equity Markets"

by Mark Mitchell & Todd Pulvino & Erik Stafford

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  1. Basu, Sudipta, 2004. "What do we learn from two new accounting-based stock market anomalies?," Journal of Accounting and Economics, Elsevier, vol. 38(1), pages 333-348, December.
  2. David J. Denis & Antonio J. Macias, 2010. "Material Adverse Change Clauses and Acquisition Dynamics," Purdue University Economics Working Papers 1242, Purdue University, Department of Economics.
  3. Alokparna (Sonia) Basu Monga & Deborah Roedder John, "undated". "WHEN DOES NEGATIVE BRAND PUBLICITY HURT? The Moderating Influence of Analytic Versus Holistic Thinking," Working Papers 0044, College of Business, University of Texas at San Antonio.
  4. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges.
  5. Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, vol. 61(3), pages 1073-1117, 06.
  6. Edwards, Amy K. & Hanley, Kathleen Weiss, 2010. "Short selling in initial public offerings," Journal of Financial Economics, Elsevier, vol. 98(1), pages 21-39, October.
  7. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
  8. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  9. Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016. "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 307-337.
  10. Owen A. Lamont & Richard H. Thaler, 2003. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 227-268, April.
  11. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, 08.
  12. Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February.
  13. Zeng, Yeqin, 2016. "Institutional investors: Arbitrageurs or rational trend chasers," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 240-262.
  14. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2012. "Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 309-318.
  15. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
  16. Almeida, Heitor & Park, Sang Yong & Subrahmanyam, Marti G. & Wolfenzon, Daniel, 2011. "The structure and formation of business groups: Evidence from Korean chaebols," Journal of Financial Economics, Elsevier, vol. 99(2), pages 447-475, February.
  17. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
  18. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
  19. Heitor Almeida & Sang Yong Park & Marti Subrahmanyam & Daniel Wolfenzon, 2009. "The Structure and Formation of Business Groups: Evidence from Korean Chaebols," NBER Working Papers 14983, National Bureau of Economic Research, Inc.
  20. Basak, Suleyman & Croitoru, Benjamin, 2006. "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
  21. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
  22. Chen, Carl R. & Diltz, J. David & Huang, Ying & Lung, Peter P., 2011. "Stock and option market divergence in the presence of noisy information," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2001-2020, August.
  23. Jennifer Brown & John Morgan, 2009. "How Much Is a Dollar Worth? Tipping versus Equilibrium Coexistence on Competing Online Auction Sites," Journal of Political Economy, University of Chicago Press, vol. 117(4), pages 668-700, 08.
  24. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York.
  25. Pekka Hietala & Steven N. Kaplan & David T. Robinson, 2003. "What is the Price of Hubris? Using Takeover Battles to Infer Overpayments and Synergies," Financial Management, Financial Management Association, vol. 32(3), Fall.
  26. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc.
  27. Ke, Bin & Ramalingegowda, Santhosh, 2005. "Do institutional investors exploit the post-earnings announcement drift?," Journal of Accounting and Economics, Elsevier, vol. 39(1), pages 25-53, February.
  28. Bogan, Vicki, 2009. "Bubbles or convenience yields? A theoretical explanation with evidence from technology company equity carve-outs," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 248-281, March.
  29. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.
  30. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
  31. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21.
  32. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
  33. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
  34. Martin Eling & Frank Schuhmacher, 2005. "The Parent Company Puzzle on the German Stock Market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 7-28, June.
  35. Raj Aggarwal, 2004. "Persistent Puzzles in International Finance and Economics," The Economic and Social Review, Economic and Social Studies, vol. 35(3), pages 241-250.
  36. Grammig, Joachim G. & Jank, Stephan, 2010. "Creative destruction and asset prices," CFR Working Papers 10-14, University of Cologne, Centre for Financial Research (CFR).
  37. Rudolf F. Klein & K. Victor Chow, 2010. "Sentiment Effect and Market Portfolio Inefficiency," Working Papers 10-08, Department of Economics, West Virginia University.
  38. Nicholas Barberis & Ming Huang, 2008. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, vol. 98(5), pages 2066-2100, December.
  39. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  40. Jacobs, Heiko & Weber, Martin, 2015. "On the determinants of pairs trading profitability," Journal of Financial Markets, Elsevier, vol. 23(C), pages 75-97.
  41. Coval, Joshua & Stafford, Erik, 2007. "Asset fire sales (and purchases) in equity markets," Journal of Financial Economics, Elsevier, vol. 86(2), pages 479-512, November.
  42. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
  43. Zhao, Min (Kevin), 2009. "Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(4), pages 505-530.
  44. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
  45. Anokhin, Sergey & Wincent, Joakim, 2014. "Technological arbitrage opportunities and interindustry differences in entry rates," Journal of Business Venturing, Elsevier, vol. 29(3), pages 437-452.
  46. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
  47. Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011. "Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated Versus Empirical Data," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 126-142, December.
  48. Cook, Douglas O. & Kieschnick, Robert & Van Ness, Robert A., 2006. "On the marketing of IPOs," Journal of Financial Economics, Elsevier, vol. 82(1), pages 35-61, October.
  49. David M. Schizer & Michael R. Powers & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers ysm356, Yale School of Management.
  50. Van Tassel, Peter, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
  51. Ansotegui, Carmen & Bassiouny, Aliaa & Tooma, Eskandar, 2013. "The proof is in the pudding: Arbitrage is possible in limited emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 342-357.
  52. Wurgler, Jeffrey, 2002. "Comment on: Investor psychology in capital markets," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 211-214, January.
  53. Schultz, Paul & Shive, Sophie, 2010. "Mispricing of dual-class shares: Profit opportunities, arbitrage, and trading," Journal of Financial Economics, Elsevier, vol. 98(3), pages 524-549, December.
  54. Bruce Hearn & Jenifer Piesse, 2010. "Barriers to the development of small stock markets: A case study of Swaziland and Mozambique," Journal of International Development, John Wiley & Sons, Ltd., vol. 22(7), pages 1018-1037.
  55. Kaustia, Markku & Knüpfer, Samuli, 2012. "Peer performance and stock market entry," Journal of Financial Economics, Elsevier, vol. 104(2), pages 321-338.
  56. Gray, Wesley, 2008. "Information Exchange and the Limits of Arbitrage," MPRA Paper 11918, University Library of Munich, Germany, revised 31 Nov 2008.
  57. Stratmann, Thomas & Welborn, John W., 2013. "The options market maker exception to SEC Regulation SHO," Journal of Financial Markets, Elsevier, vol. 16(2), pages 195-226.
  58. repec:wyi:journl:002153 is not listed on IDEAS
  59. Mitchell, Mark & Pulvino, Todd, 2012. "Arbitrage crashes and the speed of capital," Journal of Financial Economics, Elsevier, vol. 104(3), pages 469-490.
  60. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
  61. Mashruwala, Christina & Rajgopal, Shivaram & Shevlin, Terry, 2006. "Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 3-33, October.
  62. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
  63. Livio Stracca, 2002. "Behavioural Finance and Aggregate Market Behaviour: Where do we Stand?," Discussion Papers in Economics 02/10, Department of Economics, University of Leicester.
  64. Bayar, Onur & Chemmanur, Thomas J. & Liu, Mark H., 2011. "A theory of equity carve-outs and negative stub values under heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 100(3), pages 616-638, June.
  65. Eli Ofek & Matthew Richardson & Robert F. Whitelaw, 2003. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," NBER Working Papers 9423, National Bureau of Economic Research, Inc.
  66. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
  67. Guohua Jiang & Donglin Li & Gang Li, 2012. "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 165-188, August.
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