The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
收藏NBER2017-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w24144
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2017-12-01
