We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and …

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 …

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

. Corporate bond inventory of dealers rose sharply as a result. Although providing liquidity, limits to arbitrage, possibly in the …

important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that … addition, the model accurately predicts that merger arbitrage exhibits low volatility and a large Sharpe ratio when deals are …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … contribute to the variation in the no-arbitrage deviations over time. …

bank intermediation for their arbitrage strategies. …