套利
经济
套利限制
金融经济学
股票市场
库存(枪支)
计量经济学
机械工程
生物
工程类
古生物学
马
标识
DOI:10.1016/j.jbef.2015.11.007
摘要
The behavioral finance view of anomalies suggests that mispricing stems from investor irrationality that could not easily be arbitraged away. We test the implications of this concept at the country level. This study examines whether market-wide measures of investor sentiment and arbitrage constraints affect the performance of cross-country stock market anomalies. Thus, we first categorize and replicate at the country level a set of 50 parallels of stock-level anomalies documented in the academic literature. Having determined 15 of them to be reliable and robust sources of return, we investigate their relationship to the limits on arbitrage and market-wide sentiment. We observe that variation in market sentiment plays an important role in returns on cross-country value strategies, whereas tight arbitrage conditions negatively influence momentum profits.
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