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 …

I show that an important no-arbitrage consistent but costly collateral rental yield contributes to about two-thirds of …

By employing Lucas' (1982) model, this study proposes an arbitrage relationship - the Uncovered Equity Return Parity … resulting risk premia are proxied by economic variables, which are related to the business cycle. We employ differentials in …

equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …