This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market … least total risk among other alternative portfolios. Coming next, such arbitrage is dealt directly with one single … separation portfolio, which grants that the total risk linked with the arbitrage portfolio equals the non-systematic risk …

is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …

equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …

. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …