The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies

Autor:	Liang Ma, David Hirshleifer, Yongqiang Chu
Rok vydání:	2020
Předmět:	040101 forestry Economics and Econometrics 050208 finance Natural experiment Anomaly (natural sciences) education 05 social sciences Causal effect 04 agricultural and veterinary sciences Basis point Accounting 0502 economics and business Econometrics Economics 0401 agriculture forestry and fisheries Capital asset pricing model Portfolio Limits to arbitrage Finance Factor analysis
Zdroj:	The Journal of Finance. 75:2631-2672
ISSN:	1540-6261 0022-1082
DOI:	10.1111/jofi.12947
Popis:	We examine the causal effect of limits to arbitrage on 11 well-known asset pricing anomalies using the pilot program of Regulation SHO, which relaxed short-sale constraints for a quasi-random set of pilot stocks, as a natural experiment. We find that the anomalies became weaker on portfolios constructed with pilot stocks during the pilot period. The pilot program reduced the combined anomaly long-short portfolio returns by 72 basis points per month, a difference that survives risk adjustment with standard factor models. The effect comes only from the short legs of the anomaly portfolios.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::171c21e64aed8d672b4ca5d147d1ceaa https://doi.org/10.1111/jofi.12947 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.