Concepedia

Arbitrage Frictions

Arbitrage Frictions is a theoretical construct in financial economics that refers to the set of impediments—such as transaction costs, limited capital, model uncertainty, and short-sale constraints—that prevent rational arbitrageurs from fully correcting mispricings caused by noise traders in financial markets.

171

Publications

23.6K

Citations

272

Authors

230

Institutions

Publications per year

2017–2026

28

Variants

Limits To Arbitrage

Parents

Publications

171

The arbitrage theory of capital asset pricing

Stephen A. Ross · Journal of Economic Theory · 1976 · 7.2K citations

, , +14

Does Arbitrage Flatten Demand Curves for Stocks?

Jeffrey Wurgler, Ekaterina Zhuravskaya · The Journal of Business · 2002 · 933 citations

, , +15

Costly Arbitrage: Evidence from Closed-End Funds

Jeffrey Pontiff · The Quarterly Journal of Economics · 1996 · 838 citations

, , +17

Trading and arbitrage in cryptocurrency markets

Igor Makarov, Antoinette Schoar · Journal of Financial Economics · 2019 · 785 citations · Full text

, , +12

Performance measurement with the arbitrage pricing theory

Gregory Connor, Robert A. Korajczyk · Journal of Financial Economics · 1986 · 738 citations

, , +14

1–5 of 171

Authors

272

  1. ML
    Mark L. Mitchell

    University of Chicago, United States

    4 publications · 1K citations

    4

    h-index

  2. LH
    Lasse Heje Pedersen

    Copenhagen Business School, Denmark

    4 publications · 1.1K citations

    4

    h-index

  3. TP
    Todd Pulvino

    Capital University, United States

    4 publications · 1K citations

    4

    h-index

  4. SA
    Stephen A. Ross

    Yale University, United States

    4 publications · 7.3K citations

    4

    h-index

  5. DV
    Dimitri Vayanos

    London School of Economics and Political Science, United Kingdom

    4 publications · 600 citations

    4

    h-index

1–5 of 272

Institutions

230

  1. National Bureau of Economic Research

    Cambridge, United States

    15 h-index

    21 publications

    5.3K citations

  2. Centre for Economic Policy Research

    London, United Kingdom

    7 h-index

    10 publications

    1.9K citations

  3. New York University

    New York, United States

    7 h-index

    8 publications

    1.2K citations

  4. London School of Economics and Political Science

    London, United Kingdom

    6 h-index

    8 publications

    1.5K citations

  5. University of Pennsylvania

    Philadelphia, United States

    6 h-index

    6 publications

    7.3K citations

  6. University of Michigan

    Ann Arbor, United States

    5 h-index

    5 publications

    210 citations

  7. Columbia University

    New York, United States

    5 h-index

    6 publications

    1K citations

  8. University of Washington

    Seattle, United States

    5 h-index

    5 publications

    1.1K citations

1–8 of 230

Venues

  1. SSRN Electronic Journal

    Repository · 27 publications · 958 citations

    17

    h-index

  2. Journal of Financial Economics

    13 publications · 4K citations

    13

    h-index

  3. The Journal of Finance

    11 publications · 1.6K citations

    11

    h-index

  4. Journal of Banking & Finance

    8 publications · 621 citations

    8

    h-index

  5. Review of Financial Studies

    5 publications · 1.1K citations

    5

    h-index

1–5