A case study of short-sale constraints and limits to arbitrage |
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| Authors: | Steve Easton Sean Pinder Katherine Uylangco |
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| Affiliation: | 1. Newcastle Business School, University of Newcastle, NSW 2308, Australia;2. Department of Finance, University of Melbourne, VIC 3010, Australia |
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| Abstract: | This paper uses a unique data set of trades in a unique pair of securities that enables the precise identification of individual broker activity and the trade direction of that activity. We find direct evidence that the imposition (removal) of short-sale constraints limits (generates) trading activity consistent with brokers exploiting apparent mispricing. |
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| Keywords: | G00 G01 G12 |
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