A case study of short-sale constraints and limits to arbitrage
Steve Easton, Sean Pinder, Katherine Uylangco
JOURNAL OF BANKING & FINANCE | ELSEVIER SCIENCE BV | Published : 2013
This paper uses a unique data set of trades in a unique pair of securities that enables the precise identification of individual broker activity and the trade direction of that activity. We find direct evidence that the imposition (removal) of short-sale constraints limits (generates) trading activity consistent with brokers exploiting apparent mispricing. © 2013 Elsevier B.V.