Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...

This paper looks at three alternative ways of estimating the expected return on the equity market for use either in the CAPM, or other premium model, for estimating equity costs.

We have set out a general framework for adaptive belief systems in asset pricing thery. Fluctuations in prices and returns are driven by an evolutionary dynamics between traders with different expectations about prices.

A front page Sunday New York Times article on a potential development of new drugs to cure cancer caused the price of EntreMed (ENMD) stock to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. Trading volume was more than 400 times the normal trading volume, and...