Journal of Banking & Finance Vol. 37 No. 10 2013

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

Steve Easton¹; Sean Pinder²; Katherine Uylangco¹

¹ University of Newcastle Australia · ² The University of Melbourne

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.

DOI

10.1016/j.jbankfin.2013.07.012

Volume

37

Issue

10

Pages

3924-3929

Language

en

Sources

openalex crossref bibtex:phds-export.bib

Cite

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