, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …

Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT … enables me to apply the theory of Hilbert spaces in a natural way. The expected return on any asset can always be approximated …

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

In contrast to financial arbitrage, which causes prices of economically equivalent transactions to converge in the … direction of one price, regulatory arbitrage does not lead to such price convergence. In contrast, regulatory arbitrage tends to … financial arbitrage reduces or eliminates, this regulatory cost wedge will persist as long as the relevant regulatory cost …

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 …

arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations … appear small relative to the post-crisis increase in cost of capital. We present the mechanics of the CDS-bond arbitrage …

Arguments on the existence of dynamic arbitrage and price manipulation strategies are often invoked to guide modeling … price impacts of large trades. We revisit the concept of dynamic arbitrage in illiquid markets in the presence of time …-dynamic arbitrage certificate. This result simplifies identifying price impact structures that rule out dynamic arbitrage and supports …

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

forward exchange rates in terms of the interest rate differential between the home and the foreign currency. CIP arbitrage …, which is found to vary in size over time. We investigate the drivers behind the arbitrage dynamics using a three regime … Japanese yen borrowers have an advantage, and a third state represents white noise around the theoretical rate. The arbitrage …