Purpose

This paper documents a strong violation of the law of one price surrounding a large rights issue.

Design/methodology/approach

If prices are right, the relation between the prices of shares and rights follows the outcome of a simple calculation.

Findings

In the case of Royal Imtech N.V. in 2014, prices deviated sharply and persistently from the theoretical prediction. Throughout the term of the rights, investors were buying shares at prices that were many times what they should have been given the price of the rights. Short-selling constraints in the form of high recall risk and lacking stock lending supply are the most likely explanation for the failure of arbitrage as a safeguard of market efficiency. Still, it remains remarkable that investors were buying large volumes of shares at highly inflated prices in the presence of a cheap, perfect substitute.

Originality/value

The mispricing was special not just because of its severity but also because unlike previously documented cases there was no fundamental risk and no material noise trader risk.

中文翻译：

---

市场可以分化和繁殖吗？807% 错误定价的案例

目的

本文记录了围绕大型供股的一价法的严重违反。

设计/方法/方法

如果价格是正确的，则股票价格与权利之间的关系遵循简单计算的结果。

发现

在 2014 年 Royal Imtech NV 的案例中，价格持续大幅偏离理论预测。在权利的整个期限内，投资者购买股票的价格是他们应该获得的权利价格的许多倍。高召回风险和缺乏股票借贷供应形式的卖空约束是套利无法作为市场效率保障的最可能的解释。尽管如此，投资者在存在廉价、完美替代品的情况下以高涨的价格购买大量股票仍然引人注目。

原创性/价值

错误定价之所以特别，不仅因为它的严重性，还因为与以前记录的案例不同，它没有基本风险，也没有实质性的噪音交易者风险。