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Costly arbitrage and idiosyncratic risk: Evidence from short sellers · Study

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ArticleCostly arbitrage and idiosyncratic risk: Evidence from short sellers

Ying Duan2009

Article2009

Costly arbitrage and idiosyncratic risk: Evidence from short sellers

Ying Duan · Gang Hu · R. David McLean

116 citations·0/0 files stored·Journal of Financial Intermediation

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 116 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 1971Optimum consumption and portfolio rules in a continuous-time model 1995The Limits of Arbitrage 2006The Cross‐Section of Volatility and Expected Returns

Cited by

2018Corporate social responsibility, financial performance and risk in Indonesian natural resources industry 2008Arbitrage Risk and Stock Mispricing 2014Equity short selling and bond rating downgrades 2013Short Selling 2018Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?2016Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns 2008Expected Idiosyncratic Skewness 2008The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets

Details

Year2009

Typearticle

Published2009-07-28

VenueJournal of Financial Intermediation

ISSN-L1042-9573

Languageen

Citations116

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfi.2009.06.003

openalex_workW2054371141

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