Arbitrage Risk and the Book-to-Market Anomaly

By Ashiq Ali, Lee-Seok Hwang, Mark A. Trombley. 2003

442 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b391bfdc0231bed2b8815b9cacd53056ca9ae92a

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Citations in the corpus

Price Momentum and Idiosyncratic Volatility (2008, unknown): “Similar to Ali, Hwang and Trombley (2003) and Wurgler and Zhuravskaya (2002), we calculate IVol using market model residuals estimated from the regression”
The Illusory Nature of Momentum Profits (2004, unknown): “, 1977), option trading rules (Phillips and Smith, 1980), the January effect (Reinganum, 1983; Bhardwaj and Brooks, 1992), the small-firm effect (Stoll and Whaley, 1983), the book-to-market effect (Ali et al., 2003), ex-dividend day returns (Karpoff and Walkling, 1990), switching strategies (Mech, 1”
Costly arbitrage and the myth of idiosyncratic risk (2006, background): “This is an unlikely possibility, especially for studies like Ali et al. (2003) and Mashruwala et al. (2006), since they show that the relation between arbitrage costs and returns is not monotonic—abnormal returns are increasing in arbitrage costs for apparently underpriced stocks, and decreasing in…”
Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements (2009, unknown): “Ali, Hwang, and Trombley, 2003; Almazan, Brown, Carlson, and Chapman, 2004; Asquith, Pathak, and Ritter, 2005; Chen, Hong, and Stein, 2002; and D’Avolio 2002).”
Limited Arbitrage between Equity and Credit Markets (2012, unknown): “In the latter case, there is a (Merton-model) arbitrage across every pair of observations [1, 2], [2, 3] and [1, 3].”
Information Uncertainty and Post-Earnings-Announcement-Drift (2007, unknown): “, 2005),9 and of the book-to-market anomaly (Ali et al., 2003), with higher levels of idiosyncratic volatility yielding higher anomaly returns than lower levels.”
The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports (2011, unknown): “…we add controls for idiosyncratic volatility (Arbrisk) and trading volume (Volume) given that trading frictions can dampen the demand for corporate accounting information even among sophisticated investors (Collins et al. 2003; Ali et al. 2003; Mashruwala et al. 2006; D’Souza et al. 2010b).”
Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis (2005, background): “Recent papers supporting mispricing include Bartov and Kim (2004), who demonstrate that the BM effect is stronger when one considers the accounting related reasons for low BM ratios, and Ali et al. (2003) who show that the BM effect is greater for stocks with higher idiosyncratic return volatility”
R2 and Idiosyncratic Risk are not Interchangeable (2014, unknown): “…have relied on Pontiff’s (1996) proxy of idiosyncratic return volatility as a proxy for barriers to arbitrage (e.g., Wurgler and Zhuravskaya 2002; Ali, Hwang, and Trombley 2003; Mendenhall 2004; Mashruwala et al. 2006; Pontiff 2006; Pincus, Rajgopal, and Venkatachalam 2007; Cohen, Dey, Lys, and…”