NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Margin-Based Asset Pricing and Deviations from the Law of One Price

Nicolae Gârleanu, Lasse Heje Pedersen

NBER Working Paper No. 16777
Issued in February 2011

---- Acknowledgements -----

We are grateful for helpful comments from Markus Brunnermeier, Xavier Gabaix, Andrei Shleifer, and Wei Xiong, as well as from seminar participants at the Bank of Canada, Columbia GSB, Duke Fuqua, Harvard, London School of Economics, MIT Sloan, McGill University, Northwestern University Kellog, UT Austin McCombs, Yale University, UC Berkeley Haas, University of Chicago, McGill University, as well as conference participants at the Yale Financial Crisis Conference, the Society of Economic Dynamics, NBER Behavioral Economics, NBER Asset Pricing Summer Institute, NASDAQ OMX Derivatives Research Project Conference, the Econometric Society Winter Meeting, and the Western Finance Association Meetings. 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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