Imperial College London
Alternate

Professor Franklin Allen

Business School

Interim Dean of Imperial College Business School (ICBS)
 
 
 
//

Contact

 

+44 (0)20 7594 9195f.allen Website CV

 
 
//

Location

 

2.05B52-53 Prince's GateSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Allen:2021:10.1016/j.jfineco.2021.05.015,
author = {Allen, F and Haas, M and Nowak, E and Tengulov, A},
doi = {10.1016/j.jfineco.2021.05.015},
journal = {Journal of Financial Economics},
pages = {166--194},
title = {Market efficiency and limits to arbitrage: evidence from the Volkswagen short squeeze},
url = {http://dx.doi.org/10.1016/j.jfineco.2021.05.015},
volume = {142},
year = {2021}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen.  The resulting short squeeze in Volkswagen’s stock briefly made it the most valuable listed company in the world.  We argue that this was a manipulation designed to save Porsche from insolvency and the German laws against this kind of abuse were not effectively enforced.  Using hand-collected data we provide the first rigorous academic study of the Porsche-VW squeeze and show that it significantly impeded market efficiency.  Preventing manipulation is important because without efficient securities markets,  the EU’s major project of the Capital Markets Union cannot be successful.
AU  - Allen,F
AU  - Haas,M
AU  - Nowak,E
AU  - Tengulov,A
DO  - 10.1016/j.jfineco.2021.05.015
EP  - 194
PY  - 2021///
SN  - 0304-405X
SP  - 166
TI  - Market efficiency and limits to arbitrage: evidence from the Volkswagen short squeeze
T2  - Journal of Financial Economics
UR  - http://dx.doi.org/10.1016/j.jfineco.2021.05.015
UR  - http://hdl.handle.net/10044/1/83434
VL  - 142
ER  -
Download