Primes and Scores: An Essay on Market Imperfections
研究素数与分数相对于标的股票的错误定价，建立基于交易成本的套利边界，并用新非参数统计方法检验价格是否越界，发现分数因节省动态对冲成本而溢价，卖空和信托规模限制阻碍套利。
ABSTRACT This paper investigates the reported relative mispricing of primes and scores to the underlying stock. Given transaction costs, we establish arbitrage‐based bounds on prime and score prices. We then develop a new nonparametric statistical technique to test whether prime and score prices violate these bounds. We find that prime and score prices do exceed stock prices, and often by a considerable amount. We demonstrate that this increased value is most likely due to the score's ability to save on the costs of dynamic hedging. We also show how short sale and trust size constraints impede the ability to arbitrage price disparities.