We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities … arbitrage failures and recessions. Collateralization adds extra value to real-sector investments, and ultimately helps boost …

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent … deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo … therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy …

arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …

, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which … can be exploited by traders. We build possible arbitrage strategies by constructing portfolios with LETF shares and …

fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage …. In addition to their role as dealers in the underlying bond market, APs also play a unique role in arbitrage between the … conflict is small, liquidity mismatch reduces the arbitrage capacity of ETFs; as the conflict increases, an inventory …

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