| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9423 |
| 来源ID | Working Paper 9423 |
| Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets | |
| Eli Ofek; Matthew Richardson; Robert F. Whitelaw | |
| 发表日期 | 2003-01-06 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically the spread between the rate a short-seller earns on the proceeds from the sale relative to the standard rate (the rebate rate spread). We find that violations of put-call parity are asymmetric in the direction of short sales constraints, their magnitudes are strongly related to the rebate rate spread, and they are maintained even in the presence of transactions costs both in the options and equity lending market. These violations appear to be related to both the maturity of the option and the level of valuations in the stock market, consistent with a behavioral finance theory that relies on over-optimistic investors in the stock market and segmentation between the stock and options markets. Moreover, the extent of violations of put-call parity and the rebate rate spread for individual stocks are significant predictors of future stock returns. For example, cumulative abnormal returns, net of borrowing costs, over a 2«-year sample period can exceed 65%. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9423 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567042 |
| 推荐引用方式 GB/T 7714 | Eli Ofek,Matthew Richardson,Robert F. Whitelaw. Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9423.pdf（362KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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