We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …-maturity bond returns and is insufficient for pricing optimal portfolios of market equity and short-term bonds …

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …-pricing models. -- Term structure ; affine models ; macro-finance ; no-arbitrage …

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and … constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the … hypothesis. It further involves a substantial reinterpretation of traditional no-arbitrage towards a game-theoretic understanding … behavior. -- excess returns ; underpricing ; no-arbitrage ; asset pricing ; corporate finance …

the term structure of government bond yields, the arbitrage-free model we proposed is the extension of the arbitrage … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage … modelling the nominal and inflation-indexed bond yields jointly for each country. The Nelson-Siegel model is popular in fitting …

inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …