Earticle

초록

영어

We hypothesize that overpricing shows up more often than underpricing if short-selling is costly relative to buying so that there is arbitrage asymmetry, and document the followings. First, put-optioned stocks, which are supposed to be less costly to short, have less anomaly profits than non-put-optioned stocks. Second, in highsentiment periods, short-legs of anomaly portfolios are more profitable with put-optioned stocks than non- putoptioned stocks, while, in low-sentiment periods, short-legs are not profitable with both subsamples of stocks. Third, returns on short-legs of anomaly portfolios are negatively related to lagged sentiment only when the degree of market-wide arbitrage asymmetry is high, where arbitrage asymmetry is measured by the difference of the market impact costs between the up market and the down market or by the market-wide average change in breadth. Finally, anomalies associated with capital investments do not seem to be caused by the presence of short-sale constraints.

목차

Abstract
 1. Introduction
 2. Data and measures
 3. Empirical results
  3.1. Cross-sectional variations in arbitrage asymmetry
  3.2. Time-series variations in arbitrage asymmetry
  3.3. Discussions
 4. Conclusions
 Reference
 Table

저자

• Jangkoo Kang [ College of Business, KAIST ]
• Hyoung-Jin Park [ Seoul Women’s University ]
• Myounghwa Sim [ College of Business, KAIST ] corresponding author

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• 간행물명

  한국재무학회 학술대회

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  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330