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Limits-to-arbitrage in the Australian Equity Market

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thesis
posted on 13.07.2017, 06:26 by Anqi Zhong
Shleifer and Vishny (1997) and Pontiff (2006) contend that limits-to-arbitrage prevent investors from correcting mispricing, thereby allowing well-known stock market anomalies to persist. While there is a respectable body of literature on Australian stock market anomalies, the influence of limits-to-arbitrage remains largely unexplored. As such, this thesis conducts a comprehensive study of the role played by arbitrage costs for a variety of Australian stock market anomalies. In addition, this thesis also examines how different types of arbitrage costs affect a selection of prominent anomalies (size, book-to-market, gross profitability, asset growth, momentum, MAX, beta and total volatility).

History

Campus location

Australia

Principal supervisor

Philip Gray

Additional supervisor 1

Philip Gharghori

Year of Award

2017

Department, School or Centre

Banking and Finance

Course

Doctor of Philosophy

Degree Type

Doctorate

Faculty

Faculty of Business and Economics

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