A case study of short-sale constraints and limits to arbitrage
Sean Pinder and
Journal of Banking & Finance, 2013, vol. 37, issue 10, 3924-3929
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.
Keywords: Limits to arbitrage; Short-selling restrictions; Inferring trade direction (search for similar items in EconPapers)
JEL-codes: G00 G01 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:10:p:3924-3929
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