-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are … of Russell indexes, and ETF trading halts, to establish the causal effect of ETF ownership and the arbitrage mechanism …

price processes in a frictionless, continuous trading market under a no arbitrage equilibrium. These results are not …. This paper shows that, for strongly Markov processes, the inadmissible class is empty. Hence the no-arbitrage equilibrium …

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 …

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 …

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

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

, 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 …