Authors, respectively, are at MIT and NBER, Northwestern University, and BNP Paribas. We thank Kobi Boudoukh, Donald Bronstein, John Campbell, Kent Daniel, Thomas Davidoff, John Geanakoplos, Massoud Heidari, Jingzhi Huang, Ravi Jagannathan, Adam Kolasinski, Ananth Krishnamurthy, Yong Liu, Francis Longstaff, Bob McDonald, Andrew Metrick, Anna Pavlova, Matt Richardson, Tim Riddiough, Anthony Sanders, José Scheinkman, Richard Stanton, René Stulz, Raman Uppal, Dimitri Vayanos, Nancy Wallace, and Bill Wheaton for valuable comments. We are particularly grateful to the referee for many constructive suggestions. We thank participants at the NBER Asset Pricing meeting, Econometric Society Summer meeting, Gerzensee-CEPR meeting, WFA, Utah Finance Conference, and at seminars at UC-Berkeley, University of British Columbia, University of Chicago, HEC-Montreal, LBS, LSE-FMG, MIT, University of Maryland, NYU, and Northwestern for their comments. We also thank Salomon Smith Barney, Smith-Breeden, and UBS for providing data. Kripa Freitas provided excellent research assistance. All errors are our own.
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
Version of Record online: 20 MAR 2007
© 2007 the American Finance Association
The Journal of Finance
Volume 62, Issue 2, pages 557–595, April 2007
How to Cite
GABAIX, X., KRISHNAMURTHY, A. and VIGNERON, O. (2007), Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market. The Journal of Finance, 62: 557–595. doi: 10.1111/j.1540-6261.2007.01217.x
- Issue online: 20 MAR 2007
- Version of Record online: 20 MAR 2007
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!