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 …

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

literature attributes to mispricing of Treasury Inflation-Protected Securities (TIPS). In theory, factors driving TIPS mispricing …

arbitrage ex ante and reduce informational efficiency ex post. We focus on small arbitrageurs who target hard-to-short companies … implication, even extreme short-sale constraints need not constrain arbitrage, as is often assumed …

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 … can ignore the beta as a component of the equity cost. The arbitrage results in valuation differences in the end, such as …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

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

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 …

arbitrage ex ante and reduce informational efficiency ex post. We focus on small arbitrageurs who target hard-to-short companies … implication, even extreme short-sale constraints need not constrain arbitrage, as is often assumed …

We document the existence of a strategy designed to circumvent limits to arbitrage. Faced with short-sale constraints … even extreme short-sale constraints need not constrain arbitrage …