NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation

Alexander Ljungqvist, Wenlan Qian

NBER Working Paper No. 19834
Issued in January 2014

---- Acknowledgements ----

We are grateful to Alon Brav and Stephen Figlewski as well as to seminar participants at NUS, NTU, and SMU for helpful comments. We thank Zhou Li and Weibiao Xu for excellent research assistance. Ljungqvist gratefully acknowledges the generous hospitality of NUS Business School while working on this project. All data used in this research come from publicly available sources. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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