thesis_final.pdf (1.22 MB)
Download file

Limits-to-arbitrage in the Australian Equity Market

Download (1.22 MB)
posted on 2017-07-13, 06:26 authored 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).


Campus location


Principal supervisor

Philip Gray

Additional supervisor 1

Philip Gharghori

Year of Award


Department, School or Centre

Banking and Finance


Doctor of Philosophy

Degree Type



Faculty of Business and Economics