This paper derives a generalized multiple-factor asset pricing model using only the assumption of no arbitrage. This … alphas imply arbitrage opportunities and not just abnormal expected returns. This model can potentially explain many of the …

market is completely characterized by the absence of both arbitrage opportunities and dominated securities, an insight that …

and the arbitrageur's trades reduce (or eliminate) future arbitrage opportunities. In contrast to the standard textbook … arbitrage trading strategy which has infinite present value, we show that an arbitrageur's expected discounted trading profits … are finite. In addition, we show that it is rational for arbitrageurs not to trade the first time that arbitrage profits …

represents an arbitrage opportunity. Second, we show that even if the correct factors and time varying betas are used, a non … bubble. We call this illusory arbitrage. Both facts are relevant to interpreting the existing empirical literature evaluating …

shown that a negative default-free spot rate of interest is consistent with an arbitrage-free term structure evolution in a …