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

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 …

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or … arbitrage, which recurs to dissipate all the differences; i.e. the expected returns must be converged to the single rate and we …

structure classifies rich versus cheap bonds. Convertible bond arbitrage trades, where the trader buys the bond and hedges a … combination of the underlying assets, are subsequently identified. Each bond’s relative cheapness translates to its arbitrage …

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log base arbitrage are …

, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to …Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM …