Firm Complexity and Limits to Arbitrage
58 Pages Posted: 22 Jun 2020 Last revised: 7 Jul 2020
Date Written: July 7, 2020
Several important anomalies are stronger for more complex firms. Despite conglomerates being on average larger and more liquid than single-segment firms, anomalies are stronger for conglomerates. In the conglomerates-only sub-sample, anomalies are stronger for conglomerates with more between-segments difference in market-to-book and operating leverage.
Keywords: conglomerates, anomalies, mispricing, limits to arbitrage, complexity
JEL Classification: G12, G14, G34
Suggested Citation: Suggested Citation