The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio
Description:
The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbit…
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Date:
December 2015
Creator:
AlShammasi, Naji Mohammad