The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs
Abstract
Recent equity carve‐outs in U.S. technology stocks appear to violate a basic premise of financial theory: identical assets have identical prices. In our 1998–2000 sample, holders of a share of company A are expected to receive x shares of company B, but the price of A is less than x times the price of B. A prominent example involves 3Com and Palm. Arbitrage does not eliminate this blatant mispricing due to short‐sale constraints, so that B is overpriced but expensive or impossible to sell short. Evidence from options prices shows that shorting costs are extremely high, eliminating exploitable arbitrage opportunities.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
Investor Psychology and Asset Pricing
(2001) · The Journal of Finance · doi:10.1111/0022-1082.00379 · Cited by 2,357
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
Barberis, N., & Huang, M. (2008) · American Economic Review · doi:10.1257/aer.98.5.2066 · Cited by 1,544
Investor Sentiment and the Cross-section of Stock Returns
Baker, M. P., & Wurgler, J. A. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.464843 · Cited by 1,456
Global, local, and contagious investor sentiment
Baker, M., Wurgler, J., & Yuan, Y. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.11.002 · Cited by 1,018
Metadata
- Authors
- Lamont, O. A., & Thaler, R. H.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2003-04
- Volume
- 111
- Issue
- 2
- Pages
- 227-268
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W3123110074
- Cited by
- 660
- References
- 3
- FWCI
- 57.41
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
