Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its … results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

(CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas …-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …