International Arbitrage Premia

• 成果类型: Article; Early Access
• 署名作者: Sandulescu, Mirela; Schneider, Paul
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag054
• 发表日期: 2026-08-12
• 关键词: G11; G12; G15; asset pricing-models; COMMON RISK-FACTORS; preference; inference; skewness; number; stocks; tests

摘要

We introduce the nonlinear arbitrage correction (NAC), the residual that renders a linear benchmark model arbitrage-free while preserving the law of one price. The price of NAC captures the marginal Sharpe ratio increase consistent with no-arbitrage and upper-bounds the constrained Hansen-Jagannathan distance. Using four decades of international equity, currency, and factor returns, NAC is strongly countercyclical, peaking during crises when linear models turn negative. The implied Sharpe ratio increase reaches 0.3, underscoring its economic relevance. While linear models perform well on average, they fail in distressed states, underpricing nonlinear payoffs. Incorporating NAC restores positivity and stabilizes pricing across regimes.