In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … asset is nonnegative. The Robust No Free Lunch condition RNFL means that the absence of asymptotic arbitrage opportunities …

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …