The Limits of the Market-wide Limits of Arbitrage: Insights from the Dynamics of 100 Anomalies

The Limits of the Market-wide Limits of Arbitrage: Insights from the Dynamics of 100 Anomalies

Are anomalies strongest when limits of arbitrage are widely considered to be greatest? We empirically explore this theoretically deducted prediction. We first identify, categorize, and replicate 100 anomalies in the cross-section of expected equity returns. We then comprehensively study their dynami...

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Bibliographic Details
Main Author: JACOBS, Hieiko
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
anomalies
limits to arbitrage
return predictability
market frictions
behavioral finance
Corporate Finance
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/bnp_research/37
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1036&context=bnp_research
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/bnp_research/37
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1036&context=bnp_research

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