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 …

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

The no arbitrage relation between futures and spot prices implies an analogous relation between futures and spot … consider the no arbitrage constraints. We introduce a two-step estimation procedure for the FVECM parameters and we show the …

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 …

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a … new methodology for measuring market integration, based on a theoretical model of arbitrage applicable to any type of …