, 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 …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …

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 …

Authorized participants’ (APs) arbitrage in primary markets for ETF shares plays a key role in limiting dislocation in … played a significant role in weakening this arbitrage during the dash-for-cash episode of March 2020. The strength of the … arbitrage relationship linking price signals to primary market activity weakened by 77 percent in ETFs related to more leveraged …

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

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

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