This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …

We study the criteria of robust absence of arbitrage opportunity (RNA2) of the second kind as initially introduced by … costs allowing for bond market modeling. Robust no arbitrage criteria seems to be unavoidable to assure closedness of the …

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a … asymptotic arbitrage without transaction costs; but with transaction costs there does not exist any form of asymptotic arbitrage …

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … asset is nonnegative. The Robust No Free Lunch condition RNFL means that the absence of asymptotic arbitrage opportunities …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …

This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider …

The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage … analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature … 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for …