Modern financial markets are characterized by a rapid flow of information, a vast number of
participants having diversified investment horizons, and multiple feedback mechanisms …

We construct investor sentiment indices for six major stock markets and decompose them
into one global and six local indices. In a validation test, we find that relative sentiment is …

Are anomalies strongest when investor sentiment or limits of arbitrage are considered to be
greatest? We empirically explore these theoretically deducted predictions. We first identify …

Empirical evidence of imperfect integration across world capital markets suggests a role for
cross-border arbitrage by multinationals. Consistent with multinational arbitrage as a …

We measure arbitrage opportunities by comparing the intraday prices and quotes of
American Depositary Receipts (ADRs) and other types of cross-listed shares in US markets …

Abstract Between January 2016 and January 2020, bitcoin were on average 2.27% more
expensive in Korea than in the United States, a fact commonly referred to as the Kimchi …

Levered noise occurs when no-arbitrage replication hedges fundamentals but amplifies
price errors. Motivated by our theory, we use widely-available end-of-day OptionMetrics data …

Bitcoin, a digital currency, constitutes a textbook example where the law of one price should
be satisfied as, unlike asset pairs previously studied in the literature, it is a fully fungible …

This paper examines whether cryptocurrency bubbles are loud. We focus on the relation
between bitcoin prices and trading volume. Using bitcoin data from Korea and the US, we …

We investigate arbitrage at four decentralized bitcoin exchanges that contribute to
calculation of the index serving as the underlying price for the CME bitcoin futures …