Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant … cross-sectional variation in the size and asymmetricity of no-arbitrage bands. To the extent that market frictions affect …

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity …

capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage … the term structure of government bond yields, the arbitrage-free model we proposed is the extension of the arbitrage …