Limits of Arbitrage

422 citations recorded by the source corpus.

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Googling Investor Sentiment around the World (2019, neutral): “Short-selling constraints are considered one of the most important limits to arbitrage (e.g., Jones and Lamont (2002), Nagel (2005), Gromb and Vayanos (2010), and Chu, Hirshleifer, and Ma (2017)).”
FLOW AND STOCK EFFECTS OF LARGE-SCALE TREASURY PURCHASES: EVIDENCE ON THE IMPORTANCE OF LOCAL SUPPLY (2012, positive): “Gromb and Vayanos (2010) also note that these anomalies are difficult to reconcile with standard asset-pricing models.”
Currency Momentum Strategies (2012, positive): “Excellent recent surveys on limits to arbitrage and slow-moving capital which provide an obstacle to the corrective actions of rational arbitrageurs are provided by Duffie (2010) and Gromb and Vayanos (2010).”
The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, positive): “2 See Aragon and Strahan (2012), Ben-David, Franzoni, and Moussawi (2012), and Savor and Gamboa-Cavazos (2011). the cross-sectional stock return anomalies uncovered by academic finance over the past twenty-five years.”
Local Currency Sovereign Risk (2013, positive): “We study an environment where preferred habitats correspond to currencies and markets rather than maturities, building on the cross-asset arbitrage theory presented by Gromb and Vayanos (2010), and solving analytically for the endogenous LC bond price.”