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 show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …

We provide a comprehensive empirical analysis on the implication of CDS-Bond basis arbitrage for the pricing of …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …

trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications … month windows. We find strong support for no speculative arbitrage at a moment in time, but not across time …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …

-day lag taken to fully incorporate negative jump tail information into price is consistent with limits to arbitrage in the …