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Earnings announcement premia and the limits to arbitrage

✍ Scribed by Daniel A. Cohen; Aiyesha Dey; Thomas Z. Lys; Shyam V. Sunder

Book ID
116591575
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
263 KB
Volume
43
Category
Article
ISSN
0165-4101

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## Abstract This paper studies international financial integration by testing the law of one price across national borders. We use the distance between national discount factors as an integration measure and analyze the level of cross‐border mispricing. The empirical analysis shows that pricing dif