Asymmetric Asset Price Reaction to News and Arbitrage Risk

John A. Doukas and Meng Li

Review of Behavioral Finance, 2009, vol. 1, issue 1/2, 23-43

Abstract: Keywords: Price speed of adjustment, High and low book‐to‐market stocks, Limits to arbitrage, Idiosyncratic risk

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eme:rbfpps:v:1:y:2009:i:1/2:p:23-43

DOI: 10.1108/19405979200900002

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