Anomalies: The Law of One Price in Financial Markets

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Is There Price Discovery in Equity Options (2013, methodology): “For stocks, the trade direction is inferred using the Lee and Ready (1991) algorithm.”
Economics and Emigration: Trillion-Dollar Bills on the Sidewalk? (2011, background): “For identical fi nancial instruments, Lamont and Thaler (2003) fi nd that the price rarely differs across the globe by more than 15 percent.”
Country-Specific Sentiment and Security Prices (2011, unknown): “As with CCEFs, the market price of the ADR usually differs from the price of the ADR’s underlying asset, although the magnitude of this disparity is generally much smaller for ADRs than for CCEFs (Karolyi, 1998; and Lamont and Thaler, 2003).”
Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading (2009, unknown): “g (t)−E (g̃ (t+ h) |g̃ (t) = g (t)) = 3 M t,h (g0)− e−δh ́ g (t+ h) (19)”
Investor Sentiment, Limits to Arbitrage and Private Market Returns (2014, background): “Consistent with Lamont and Thaler (2003a), we expect a positive relation between changes in sentiment and subsequent short-run returns as sentiment-driven demand, accompanied by limits to arbitrage, drives prices away from their fundamental value.”
Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005, methodology): “In the case of Palm and 3Com analyzed by Lamont and Thaler (2003), the market valuation of Palm surpassed its parent company 3Com by over 20 billion dollars in March 2000.”