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Law of One Price Violation in Parent-Subsidiary Relations

Annemarie Anderson & Bram J. Jansen

Critical Finance Review2025https://doi.org/10.1561/104.00000157article
AJG 1ABDC A*
Weight
0.41

Abstract

We present evidence of a persistent violation of the law of one price in the U.S. stock market. Using a hand collected dataset which corrects for the data errors in SDC, we find that the value of the parent’s ownership in the subsidiary can exceed the parent firm’s total market value consistent with prior literature. Contrary to what efficient capital markets would suggest, this price aberration is persistent, and we show that it is possible to profitably trade by taking advantage of the price discrepancy.

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https://doi.org/https://doi.org/10.1561/104.00000157

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@article{annemarie2025,
  title        = {{Law of One Price Violation in Parent-Subsidiary Relations}},
  author       = {Annemarie Anderson & Bram J. Jansen},
  journal      = {Critical Finance Review},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1561/104.00000157},
}

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.