The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Limited Arbitrage in Equity Markets
Open accessAbstract
We examine 82 situations where the market value of a company is less than its subsidiary. These situations imply arbitrage opportunities, providing an ideal setting to study the risks and market frictions that prevent arbitrageurs from immediately forcing prices to fundamental values. For 30 percent of the sample, the link between the parent and its subsidiary is severed before the relative value discrepancy is corrected. Furthermore, returns to a specialized arbitrageur would be 50 percent larger if the path to convergence was smooth rather than as observed. Uncertainty about the distribution of returns and characteristics of the risks limits arbitrage.
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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
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
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
STAMBAUGH, R. F., YU, J., & YUAN, Y. (2015) · The Journal of Finance · doi:10.1111/jofi.12286 · Cited by 940
Metadata
- Authors
- Mitchell, M., Pulvino, T., & Stafford, E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2002-04
- Volume
- 57
- Issue
- 2
- Pages
- 551-584
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3125267019
- Cited by
- 410
- References
- 3
- FWCI
- 39.34
- Type
- journal article
- Language
- en
- Open access
- green
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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.
