haku: @indexterm RATE OF RETURN / yhteensä: 621
viite: 42 / 621
| Tekijä: | Mitchell, M. Pulvino, T. Stafford, E. |
| Otsikko: | Limited arbitrage in equity markets |
| Lehti: | Journal of Finance
2002 : APR, VOL. 57:2, p. 551-584 |
| Asiasana: | Arbitrage Stock markets Share prices Rate of return Risk Models USA |
| Kieli: | eng |
| Tiivistelmä: | This paper examines 82 situations where the market value of a company is less than its subsidiary. These situations imply arbitrage opportunities, providing an ideal setting to study the risks and market frictions that prevent arbitrageurs from immediately forcing prices to fundamental values. For 30 percent of the sample, the link btw. the parent and its subsidiary is severed before the relative value discrepancy is corrected. Furthermore, returns to a specialized arbitrageur would be 50 percent larger if the path to convergence was smooth rather than as observed. Uncertainty about the distribution of returns and characteristics of the risks limits arbitrage. |
SCIMA