Can the Market Add and Subtract?
Auteur : Owen A. Lamont, Richard H. Thaler
Date de publication : 2001
Éditeur : National Bureau of Economic Research
Nombre de pages : 58
Résumé du livre
Abstract: Recent equity carve-outs in US technology stocks appear to violate a basic premise of financial theory: identical assets have identical prices. In our 1998-2000 sample, holders of a share of company A are expected to receive x shares of company B, but the price of A is less than x times the price of B.A prominent example involves 3Com and Palm. Arbitrage does not eliminate these blatant mispricing due to short sale constraints, so that B is overpriced but expensive or impossible to sell short. Evidence from options prices shows that shorting costs are extremely high, eliminating exploitable arbitrage opportunities.