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- catalog abstract "This paper examines the impediments to arbitrage in 82 situations between 1985 and 2000, where the market value of acompany is less than the sum of its publicly traded parts. These situations suggest clear arbitrage opportunities and providean ideal setting in which to study the risks and market frictions that prevent arbitrageurs from immediately forcing prices to fundamental values. We find that 30% of the situations terminate without converging. Furthermore, because of forced liquidation to satisfy capital requirements, we estimate that the returns to a specialized arbitrageur would be 50% larger if the path to convergence was smooth rather than as observed. Uncertainty about the distribution of returns and characteristics ofthe risks appear to be an important obstacle.".
- catalog contributor b12147557.
- catalog contributor b12147558.
- catalog contributor b12147559.
- catalog contributor b12147560.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description "Includes bibliographical references.".
- catalog description "This paper examines the impediments to arbitrage in 82 situations between 1985 and 2000, where the market value of acompany is less than the sum of its publicly traded parts. These situations suggest clear arbitrage opportunities and providean ideal setting in which to study the risks and market frictions that prevent arbitrageurs from immediately forcing prices to fundamental values. We find that 30% of the situations terminate without converging. Furthermore, because of forced liquidation to satisfy capital requirements, we estimate that the returns to a specialized arbitrageur would be 50% larger if the path to convergence was smooth rather than as observed. Uncertainty about the distribution of returns and characteristics ofthe risks appear to be an important obstacle.".
- catalog extent "42 p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 01-069.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 01-069".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Limited arbitrage in equity markets / Mark Mitchell, Todd Pulvino, Erik Stafford.".
- catalog type "text".