Table A1 provides details about the implementation of anomalies related to the law of one price. Table A2 , which spans ten pages, gives more information about the computation of all 100 anomalies in the cross-section of expected equity returns relied on in this paper. Table A3 shows pairwise correlations between market-level variables relied on in the paper. Table A4 shows the impact of the lagged level of the Baker/Wurgler (2006) investor sentiment indicator on individual anomalies. Table A5

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... o A8 use different specifications to document the impact of market-level arbitrage constraints and investor sentiment on raw anomaly returns. Table A9 shows the impact of selected alternative proxies for limits to arbitrage. Table A10 shows the impact of sentiment and limits to arbitrage separately for the long and short leg of the portfolios. Table A11 explores the interaction of sentiment and limits to arbitrage. Table A12 and A13 show the impact of lagged and continuously measured market-level arbitrage constraints on meta anomaly returns.