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We find that the anomalies became weaker on portfolios constructed with pilot stocks during the pilot period. The pilot program reduced the combined anomaly long\u2013short portfolio returns by 72 basis points per month, a difference that survives risk adjustment with standard factor models. The effect comes only from the short legs of the anomaly portfolios.<\/jats:p>","DOI":"10.1111\/jofi.12947","type":"journal-article","created":{"date-parts":[[2020,5,21]],"date-time":"2020-05-21T04:35:53Z","timestamp":1590035753000},"page":"2631-2672","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":151,"title":["The Causal Effect of Limits to Arbitrage on Asset Pricing 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