The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
利用Regulation SHO试点项目作为自然实验，研究发现放松卖空限制使资产定价异象减弱，试点股票组合的异象多空收益每月降低72个基点。
ABSTRACT We examine the causal effect of limits to arbitrage on 11 well‐known asset pricing anomalies using the pilot program of Regulation SHO, which relaxed short‐sale constraints for a quasi‐random set of pilot stocks, as a natural experiment. We find that the anomalies became weaker on portfolios constructed with pilot stocks during the pilot period. The pilot program reduced the combined anomaly long–short portfolio returns by 72 basis points per month, a difference that survives risk adjustment with standard factor models. The effect comes only from the short legs of the anomaly portfolios.