NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies

Yongqiang Chu, David Hirshleifer, Liang Ma

NBER Working Paper No. 24144
Issued in December 2017, Revised in October 2018

---- Acknowledgments ----

For helpful comments and suggestions, we thank Wei Xiong (the Editor), an anonymous Associate Editor, two anonymous referees, Karl Diether, Lukasz Pomorski, Jeffrey Pontiff, Lin Sun, and participants at the 2016 Rodney L. White Center for Financial Research Conference on Financial Decisions and Asset Markets at Wharton and the 2017 American Finance Association Meetings. This research has received financial support from the Moore School Research Grant Program. 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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