Mispricing of dual-class shares: Profit opportunities, arbitrage, and trading

• 成果类型: Article
• 署名作者: Schultz, Paul; Shive, Sophie
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.06.007
• 发表日期: 2010
• 页码: 524-549
• 关键词: arbitrage; Mispricing; Market microstructure; Dual-class shares

摘要

This is the first paper to examine the microstructure of how mispricing is created and resolved. We study dual-class shares with equal cash flow rights and show that a simple trading strategy exploiting gaps between their prices appears to create abnormal profits after transactions costs. Trade and quote data show that investors shift their trading patterns to take advantage of gaps. Contrary to common perception, long-short arbitrage plays a minor part in eliminating gaps, and one-sided trades correct most of them. We also show that the more liquid share class is usually responsible for the price discrepancies. (C) 2010 Elsevier B.V. All rights reserved.