NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Limits of Arbitrage: The State of the Theory

Denis Gromb, Dimitri Vayanos

NBER Working Paper No. 15821
Issued in March 2010

---- Acknowledgements -----

We thank Suleyman Basak, Bruno Biais, Bernard Dumas, Vincent Fardeau, Robin Greenwood, Harald Hau, Peter Kondor, Arvind Krishnamurthy, Anna Pavlova, Christopher Polk, Ana-Maria Santacreu, Yuki Sato and Pierre-Olivier Weill for helpful comments, and the Paul Woolley Centre at the LSE for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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