We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and … constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …

rates with the same maturity. Under standard assumptions this implies the existence of arbitrage opportunities. This paper … presents a model for pricing interest rate swaps where frictions for holding bonds limit arbitrage. I show analytically that … negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical …

This paper studies the social value of closing price differentials in financial markets. We show that arbitrage gaps … (price differentials between markets) exactly correspond to the marginal social value of executing an arbitrage trade. We … further show that arbitrage gaps and measures of price impact are sufficient to compute the total social value from closing an …

The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different … amenities (demographics, crime, education, housing) depends on their ability to compare locations and to finance the swap of …

-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the … that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the … absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver …

. Focusing in particular on arbitrage opportunities, I construct an "externality-mimicking portfolio" whose returns track the …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that the … significant extent to which swap positions offset each other, the average bank has essentially no net interest rate risk from … banks, with some bank swap positions decreasing and some increasing with rates, but aggregating swap positions at the level …

We examine the causal effect of limits to arbitrage on 11 well-known asset pricing anomalies using Regulation SHO …