---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented … using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP arbitrage … demand for dollar funding, by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to …

I show that an important no-arbitrage consistent but costly collateral rental yield contributes to about two-thirds of …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

interest rate parity) for a wide range of currencies with respect to the dollar since the global financial crisis. Theory of … the foreign exchange (FX) swap market predicts that shortage of global arbitrage capital (GAC), by making the FX swap …

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 …

offered arbitrage positions, and that they experienced, on average, negative margins from these postings. Our findings …

We study arbitrage in ETFs holding illiquid corporate bonds, focusing on authorized participants (APs) and their … sheet in both roles. We find that bond market illiquidity limits ETF arbitrage. Using novel AP-level balance sheet data, we … further find that large bond flow shocks to AP balance sheets also limit ETF arbitrage, leading to persistent relative …

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …

Estimates of mispricing, such as deviations from no-arbitrage relations, strongly comove across five financial markets …. One common component---the arbitrage gap---explains the majority of variability in mispricing estimates for futures …, Treasury securities, foreign exchange, and options. Prominent equity anomalies also comove significantly with the arbitrage gap …