Three Essays on Market Efficiency and Limits to Arbitrage

Three Essays on Market Efficiency and Limits to Arbitrage

This dissertation consists of three essays. The first essay focuses on idiosyncratic volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks....

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Bibliographic Details
Main Author: Tayal, Jitendra
Other Authors: Finance, Insurance and Business Law
Format: Others
Published: Virginia Tech 2016
Subjects:
arbitrage
idiosyncratic volatility
short selling
nominal prices
institutional ownership
idiosyncratic skewness
shareholders
shadow cost
futures markets
weekend effect
unbiased prices
Online Access:http://hdl.handle.net/10919/64985

Internet

http://hdl.handle.net/10919/64985

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