Limited arbitrage in equity markets

• 成果类型: Article
• 署名作者: Mitchell, M; Pulvino, T; Stafford, E
• 署名单位: Harvard University; Northwestern University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00434
• 发表日期: 2002
• 页码: 551-584
• 关键词: puzzle; bonds; RISK

摘要

We examine 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 between 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.