- Title
- A case study of short-sale constraints and limits to arbitrage.
- Creator
- Easton, Steve; Pinder, Sean; Uylangco, Katherine
- Relation
- Journal of Banking & Finance Vol. 37, Issue 10, p. 3924-3929
- Publisher Link
- http://dx.doi.org/10.1016/j.jbankfin.2013.07.012
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2013
- Description
- 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.
- Subject
- limits to arbitrage; short-selling restrictions; inferring trade direction
- Identifier
- http://hdl.handle.net/1959.13/1057028
- Identifier
- uon:16117
- Identifier
- ISSN:0378-4266
- Language
- eng
- Reviewed
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