, observed risk-arbitrage spreads compensate arbitrageurs for liquidity risk and deal failure risk. We conclude that the risk in … risk-arbitrage has been systematically underestimated. Finally, we document an interaction between deal risk (a technical …

We examine the market mispricing and limits-to-arbitrage hypotheses on the positive relation between cash holdings and … volatility as proxies for limits-to-arbitrage, we show that the cash holding effects are strong among stocks with large … transaction and short selling costs, and high idiosyncratic volatility. This indicates that high arbitrage costs and risks prevent …

liquidity (determinants of margin requirements) explain recent deviations in the arbitrage based parity relationship between the …

We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs …