loading functions. This model captures common movements of stock excess returns and includes a two-layer network of arbitrage … dynamic network structure of arbitrage returns through groups of some characteristics …

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that … solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than … classical absence of arbitrage opportunities. We center our analysis on this characterization of market viability and derive …

The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …

rate to use in common valuation formulas. We apply arbitrage theory in a riskless, as well as risky, (multi-period) economy …'s initial endowment.With tax liabilities that are a convex function of the tax base we identify a new kind of arbitrage: trading … ‘bounded' arbitrage opportunities.Going beyond earlier research, we are able to give a complete characterization based on …

An emerging literature relies on an index of limits of arbitrage in fixed-income markets. We analyze the benefits of an … index that is model-free, robust and intuitive. This new index strengthens the evidence that limits of arbitrage proxy for … of arbitrage because it bypasses a noisy estimation step. Relative value indices in the US, the UK, Japan, Germany, Italy …

This Article presents a skeptical, though not dismissive, view of appraisal arbitrage. While there are benefits … associated with appraisal litigation, the Article introduces both economic theory and empirical evidence demonstrating that … increased levels of appraisal arbitrage also create efficiency costs and distributional concerns. Given the need to balance …

In finance, arbitrage is an essential framework to understand asset pricing. However, the study of anomalies also …

Many arbitrage strategies are dominated by a few large arbitrageurs who recognize their price impact. I model …

Corporation (HSBC) did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One … possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed …