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Limits-to-Arbitrage, Investment Frictions, and Innovation Anomalies

Konan Chan, Yueh-Hsiang Lin, Yanzhi Wang

PII: S0927-538X(17)30023-9 DOI: doi:10.1016/j.pacfin.2017.01.001 Reference: PACFIN 908

To appear in: Pacific-Basin Finance Journal

Received date: 10 August 2016 Revised date: 14 December 2016 Accepted date: 16 January 2017

Please cite this article as: Chan, Konan, Lin, Yueh-Hsiang, Wang, Yanzhi, Limits-to- Arbitrage, Investment Frictions, and Innovation Anomalies, Pacific-Basin Finance Journal (2017), doi:10.1016/j.pacfin.2017.01.001

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Limits-to-Arbitrage, Investment Frictions, and Innovation Anomalies

Konan Chan Department of Finance College of Commerce National Chengchi University Taipei 11605,

Yueh-Hsiang Lin Department of Finance College of Business National Taipei University of Business Taipei 10051, Taiwan

and

Yanzhi Wang Department of Finance College of Management National Taiwan University ACCEPTEDTaipei 10617, MANUSCRIPT Taiwan

______Address correspondence to Yueh-Hsiang Lin, Department of Finance, College of Business, National Taipei University of Business, No. 321, Sec. 1, Jinan Rd., Taipei, Taiwan. Tel: +886-2-23226469; fax: +886-2-23226378; e-mail: [email protected]. We acknowledge useful comments from Hung-Kun Chen, Sheng-Syan Chen, Jarrad Harford, Woan-lih Liang, Alexender Ljungqvist, Geert Bekaert, Chuan Yang Hwang, Chia-Wei Huang, Ji-Chai Lin, Sheridan Titman, K.C. John Wei and seminar participants at Feng Chia University, National Chengchi University, National Chung Hsin University, and for helpful comments and suggestions. Wang acknowledges financial support from National Science Council (NSC 101-2628-H-002 -010 -MY2).