price processes in a frictionless, continuous trading market under a no arbitrage equilibrium. These results are not …. This paper shows that, for strongly Markov processes, the inadmissible class is empty. Hence the no-arbitrage equilibrium …

exploit worldwide differences in short-sale constraints to examine whether convertible arbitrage short selling creates … to induce more arbitrage short selling. Our findings suggest that a substantial part of the stock price effect of …

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …