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...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |