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 …

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 …

. 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 …

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

not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization … cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a … closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new …