Does Arbitrage Flatten Demand Curves for Stocks

164 citations recorded by the source corpus.

Citations in the corpus

Investor Sentiment and the Cross-Section of Stock Returns (2006, unknown): “We discuss these in turn.”
Price Momentum and Idiosyncratic Volatility (2008, unknown): “As pointed out by Bhojraj and Swaminathan (2006) , a key prediction of recent behavioral theories is that a large M. P. Arena et al./The Financial Review 43 (2008) 159‐190 177”
Managing Underwriters and the Marketing of Seasoned Equity Offerings (2010, unknown): “…or deletions of index components also find support for a negatively sloped demand curve (see Harris and Gurel (1986), Shleifer (1986), Dhillon and Johnson (1991), Lynch and Mendenhall (1997), Kaul, Mehrotra, and Morck (2000), Wurgler and Zhuravskaya (2002), and Greenwood (2005), among others).”
The Accrual Anomaly: International Evidence (2003, unknown): “Pontiff (1996), Wurgler and Zhuravskaya (2002), and Mashruwala et al. (2006) use the idiosyncratic portion of a mispriced stock’s volatility that cannot be avoided by holding offsetting positions in other stocks and indexes as a proxy for the absence of close substitutes.”
A survey of behavioral finance (2002, unknown): “Wurgler and Zhuravskaya (2002) provide additional support for the limited arbitrage view of S&P 500 inclusions.”