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A Theory of Slow-Moving Capital and Contagion

Acharya, Viral V; Shin, Hyun Song; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

making investments today and waiting for arbitrage opportunities in future is the combination of occasional fire sales and … fire sales in other types that are fundamentally unrelated, provided arbitrage activity in these investments is sourced …

Persistent link: https://www.econbiz.de/10004980209

Arbitrage with Inelastic Liquidity Demand and Financial Constraints

Attari, Mukarram; Mello, Antonio S - C.E.P.R. Discussion Papers - 2001

This paper derives arbitrage trading strategies taking into account the fact that the actions of arbitrageurs impact … prices. This avoids the difficulty of having to rely on exogenous position limits to prevent infinite arbitrage profits. When … spite of arbitrage. Financial constraints are also responsible for periods of excessively volatile prices and for the time …

Persistent link: https://www.econbiz.de/10005136768

Markets in China and Europe on the Eve of the Industrial Revolution

Keller, Wolfgang; Shiue, Carol Hua - C.E.P.R. Discussion Papers - 2004

Current orthodoxy suggests that the Industrial Revolution began in Europe because European institutions promoted comparatively high levels of market efficiency. This Paper compares the actual efficiency of markets in Europe and China, two regions of the world that were relatively advanced in the...

Persistent link: https://www.econbiz.de/10005114184

Why Does the 'Law of One Price' Fail? A Case Study

Haskel, Jonathan; Wolf, Holger C - C.E.P.R. Discussion Papers - 1999

We use retail transaction prices for a multinational retailer to examine the extent and permanence of violations of the law of one price (LOOP) for identical products sold in a variety of countries. We find median deviations of twenty to fifty percent. The differences are not systematic across...

Persistent link: https://www.econbiz.de/10005497930

Risk Arbitrage in Takeovers

Cornelli, Francesca; Li, David Daokui - C.E.P.R. Discussion Papers - 1998

The paper studies the role of risk arbitrage in takeover contests. We show that arbitrageurs have an incentive to …

Persistent link: https://www.econbiz.de/10005504384

Arbitrage, Hedging and Financial Innovation

Davidson, Malcolm - C.E.P.R. Discussion Papers - 1996

I present a simple model in which it is possible that opening a new market makes everybody worse off. Unlike previous examples in the literature, the analysis does not rely on relative price changes of different consumption goods. This is shown in a standard framework in which uninformed traders...

Persistent link: https://www.econbiz.de/10005504789

ECU Interest Rates and ECU Basket Adjustments: An Arbitrage Pricing Approach

Klein, Martin - C.E.P.R. Discussion Papers - 1990

This paper considers arbitrage pricing of bonds and the determination of interest rates in the European Currency Unit … existing member currency assets and the member currencies' exchange rates. Using the technical apparatus of arbitrage pricing … theory it is shown how the fundamental arbitrage pricing relationships implied by the derivative character of the ecu have to …

Persistent link: https://www.econbiz.de/10005656422

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2001

We propose a multi-period model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets, traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting...

Persistent link: https://www.econbiz.de/10005666703

Spain's Capital Account Shock

Viñals, José - C.E.P.R. Discussion Papers - 1990

The purpose of this paper is twofold: it analyses how far the external opening-up process of the Spanish economy that started with its integration into the EEC in 1986 has led to a higher effective degree of capital mobility; and it examines what kind of capital flows, exchange-rate pressures...

Persistent link: https://www.econbiz.de/10005281411

Regulatory Competition and Bank Risk Taking

Agur, Itai - C.E.P.R. Discussion Papers - 2009

How damaging is competition between bank regulators? This paper models regulators that compete because they want to supervise more banks. Both banks' risk profiles and their access to wholesale funding are endogenous, leading to rich interactions. The sensitivity of regulatory standards to bank...

Persistent link: https://www.econbiz.de/10008577817