Is the synthetic stock price really lower than actual price?
Conventional wisdom suggests synthetic stock prices are lower than actual prices due to short‐sale constraints and voting premiums. This study finds that such underpricing of the synthetic midquote disappears if arbitrageurs face security borrowing costs. The synthetic spread predominantly contains...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6590 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7589/viewcontent/pd_jfm.pdf |
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| Institution: | Singapore Management University |
| Language: | English |