but systematic mispricing is not. The theory is consistent with several empirical findings regarding the cross-section of …

We develop a theory of stock-market crashes based on differences of opinion among investors. Because of short …

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a … new methodology for measuring market integration, based on a theoretical model of arbitrage applicable to any type of …

In traditional models, arbitrage in a given security is performed by a large number of diversified investors taking … small positions against its mispricing. In reality, however, arbitrage is conducted by a relatively small number of highly … specialized investors who take large positions using other people's money. Such professional arbitrage has a number of interesting …

accomplished is arbitrage. A privately informed trader will engage in costly arbitrage, that is, trade on his knowledge that the …

The federal tax code creates strong incentives for tax arbitrage activity on the part of state governments. This … arbitrage activity is illegal and previous research has typically assumed that the constraint against arbitrage activity is … Reform Act of 1986 which made even greater efforts to curb arbitrage activity is likely to be ineffective …

The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different … amenities (demographics, crime, education, housing) depends on their ability to compare locations and to finance the swap of …

that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the … absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver …-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the …