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A case study of short-sale constraints and limits to arbitrage

Journal of Banking & Finance 2013 37(10), 3924-3929
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.