Limited Arbitrage in Equity Markets

By Mark L. Mitchell, Todd C. Pulvino, Erik Stafford. 2002

402 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/22b7c745226588845be98ab9533c1e2bbb6b1e32

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Citations in the corpus

Shackling Short Sellers: The 2008 Shorting Ban (2013, neutral): “[10:12 24/4/2013 RFS-hht017.tex] Page: 1363 1363–1400”
Arbitrage Crashes and the Speed of Capital (2012, neutral): “Netter and Mitchell (1989) analyze stock repurchases around the crash of October 1987 when 9.”
Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, neutral): “…is typical in the literature to find that models cannot correctly price Portfolio 1 and a number of papers (Lamont and Thaler, 2003; D'Avolio, 2002; Mitchell, Pulvino, and Stafford, 2002) question whether its return is correctly measured.26 In the last column of Table 15 we show that once we…”
The Cross Section of Analyst Recommendations (2004, background): “…impediments to arbitrage activity, but implicitly rely on recent studies that explore barriers to such activity (Shleifer and Vishny (1997), Abreu and Brunnermeier (2002), and Mitchell, Pulvino, and Stafford (2002)) as rationales for why our predictability is not eliminated by astute arbitrageurs.”
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets (2004, neutral): “In the extreme case, for six months after an IPO, most of the shares have lockup restrictions. data are the corresponding stock prices, dividends and splits, as well as option-specific data such as implied volatilities, interest rates, maturities, and exercise prices.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “shares is lower than the value of the company’s stake in a subsidiary firm (Mitchell et al., 2002; Lamont and Thaler, 2003).”
Asset Fire Sales (and Purchases) in Equity Markets (2007, methodology): “This is related to an effect described in Mitchell, Pulvino, and Stafford (2002) created by margin requirements.”
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, neutral): “For example, if each month we assign stocks to ten categories based on our measure and then form a value-weighted portfolio for each decile, the following month’s spread in benchmark-adjusted returns between the two extreme deciles averages 1.48% over our sample period, 8/1965–1/2011.”
What is the Price of Hubris? Using Takeover Battles to Infer Overpayments and Synergies (2003, neutral): “Overall, therefore, Redstone controlled 76% of Viacom’s cash flow rights and 85% of Viacom’s voting rights (the B shares did not have any voting rights) when the takeover contest began. In this section, we consider different explanations or theories to explain these results. We believe our results h”