| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24144 |
| 来源ID | Working Paper 24144 |
| The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies | |
| Yongqiang Chu; David Hirshleifer; Liang Ma | |
| 发表日期 | 2017-12-25 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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 constructed with pilot stocks during the pilot period. The pilot program reduced the combined anomaly long-short portfolio returns by 72 basis points per month, a difference that survives risk adjustment with standard factor models. The effect comes only from the short legs of the anomaly portfolios. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Behavioral Finance |
| URL | https://www.nber.org/papers/w24144 |
| 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/581818 |
| 推荐引用方式 GB/T 7714 | Yongqiang Chu,David Hirshleifer,Liang Ma. The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies. 2017. |
| 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 | ||
| w24144.pdf（448KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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