Dissecting arbitrage costs
This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early years with few publications documenting return anomalies, arbit...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6226 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7225/viewcontent/Dissecting_arbitrage_costs_2017_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |