The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or … arbitrage, which recurs to dissipate all the differences; i.e. the expected returns must be converged to the single rate and we …

is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor … sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to … arbitrage negatively affect momentum profits …

This paper investigates arbitrage activities in China’s stock market to examine whether arbitrageurs destabilize stock … prices. We focus on reversal anomaly and construct a measure of arbitrage intensity, coreversal, which captures the abnormal … return correlation among stocks on which a reversal strategy would speculate. In times of low reversal arbitrage, the …

returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and … quartile of firms. Furthermore, portfolios formed on size (as a proxy for the difficulty of arbitrage) and idiosyncratic … limited to stocks that are difficult to arbitrage and therefore does not suggest missing factors or inefficient markets. The …

I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock …