We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers …

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

Most empirical studies on arbitrage opportunities tend to focus on arbitrage resulting from two “securities”, normally … “different” option values the “amount” of arbitrage increase than in case alluded earlier on in this abstract. More importantly … cost if any. Lastly, despite that the empirical study is on multiple arbitrage opportunities, overall results exemplify …

Models in financial economics derived from no-arbitrage assumptions have found great favor among theoreticians and … practitioners. We develop a model of option prices where arbitrage is short lived. The arbitrage process is Ornstein-Uhlenbeck with … zero mean and rapid adjustment of deviations. We find that arbitrage correlated with the underlying can have sizeable …

's arbitrage process. In this paper, I show that the uptake of custom baskets has heterogeneous effects on the microstructure of … corporate bond ETFs. While custom baskets enhance the liquidity transformation of bond ETFs, this comes at a cost, as they …

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 …

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short … costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions …

more arbitrage and covary correspondingly more with systematic shocks to arbitrage capital. I show that this prediction …, but also actively shape these risks through the act of arbitrage …