We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short … costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions …

distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the … hypothesis. It further involves a substantial reinterpretation of traditional no-arbitrage towards a game-theoretic understanding … behavior. -- excess returns ; underpricing ; no-arbitrage ; asset pricing ; corporate finance …

both proxies for cross-sectional and time-varying limits to arbitrage. Prices typically diverge following a sequence of …

– the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage … opportunities in the stock market for hedging or portfolio balancing. This paper examines if the fund managers of Indian arbitrage …

without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …