RePEcTrading, Microstructure & Execution
Cross-Sectional Anomalies and Arbitrage
An extended analysis of Kaplanski's work reveals that arbitrage activity after identifying cross-sectional anomalies alters returns, indicating long-term profitability for arbitrageurs and suggesting mispricing due to investor behavior biases.
Featured in No. 77 on 4 Dec 2024 · on release day
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- 4 Dec 2024
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- No. 77 · 4 Dec 2024
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- RePEc:wsi:wschap:9789811290633_0004
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