Price Adjustment Delays and Arbitrage Costs: Evidence from the Behavior of Convertible Preferred Prices
研究发现，实值可转换优先股的价格调整滞后于普通股最多九小时，这种价格可预测性源于套利成本，约70%的价格偏差幅度可由套利成本代理变量解释。
Price adjustment delays occur between in-the-money convertible preferred stock prices and common stock prices. Convertible preferred prices systematically deviate from the prices predicted from their conversion relations with common stocks. The price predictability stems from price changes in the underlying common stocks leading the price changes in the convertible preferred stocks by up to nine hours. Cross-sectionally, about 70 percent of the variation in the unsigned size of the price deviations is explained by proxies for costs of arbitrage.