significantly reduce the potential arbitrage profits. Positive shocks to market-wide liquidity reduce arbitrage costs and accelerate …

des Cost of Carry Modells anhand von ausnutzbaren Arbitragemöglichkeiten (unter Berücksichtigung von Transaktionskosten …

literature attributes to mispricing of Treasury Inflation-Protected Securities (TIPS). In theory, factors driving TIPS mispricing …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

Estimates of mispricing, such as deviations from no-arbitrage relations, strongly comove across five financial markets …. One common component---the arbitrage gap---explains the majority of variability in mispricing estimates for futures …, Treasury securities, foreign exchange, and options. Prominent equity anomalies also comove significantly with the arbitrage gap …