Dissecting arbitrage costs

• Main Authors: LAM, F. Y. Eric, WEI, Chishen, WEI, K. C John
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Arbitrage costs; Arbitrage risk; Information uncertainty; Transaction costs; Mispricing; Finance and Financial Management
• 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
• Institution: Singapore Management University

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...