We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies …

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 …

"Limits of Arbitrage" theories hypothesize that the marginal investor in a particular asset market is a specialized …

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a … new methodology for measuring market integration, based on a theoretical model of arbitrage applicable to any type of …

In traditional models, arbitrage in a given security is performed by a large number of diversified investors taking … small positions against its mispricing. In reality, however, arbitrage is conducted by a relatively small number of highly … specialized investors who take large positions using other people's money. Such professional arbitrage has a number of interesting …

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 …-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the …

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage …

analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining … with the CAPM employing the usual market proxies failed. In addition, it appears that the zero beta version of the APT is … factor versions of the theory …