The Limits of Arbitrage
指出教科书中的无风险、零资本套利在现实中几乎不存在，专业套利者使用他人资本且承担风险，这导致极端情况下套利失效，价格长期偏离基本面，并解释了金融市场异常为何持续存在。
ABSTRACT Textbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital, and is typically risky. Moreover, professional arbitrage is conducted by a relatively small number of highly specialized investors using other people's capital. Such professional arbitrage has a number of interesting implications for security pricing, including the possibility that arbitrage becomes ineffective in extreme circumstances, when prices diverge far from fundamental values. The model also suggests where anomalies in financial markets are likely to appear, and why arbitrage fails to eliminate them.