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The limits to arbitrage revisited: The accrual and asset growth anomalies

Authors Li, X. View this author's profile
Sullivan, R.N.
Issue Date 2011
Source Financial analysts journal , v. 67, (4-5), 2011, July/August, p. 50-66
Summary Using idiosyncratic volatility as a proxy for arbitrage costs, the authors found that the highly publicized accrual and asset growth anomalies exist because of high barriers to arbitrage, occurring predominantly in the universe of stocks with higher arbitrage risks. Therefore, investors who seek to profit from the accrual and asset growth anomalies must bear greater uncertainty in outcomes than was previously understood. © 2011 CFA Institute.
ISSN 0015-198X
Language English
Format Article
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