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Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage …

Persistent link: https://www.econbiz.de/10005124143

Greek Closed-End Fund Premia: Differences and Similarities with US Premia and Their Implications

Hardouvelis, Gikas A; Tsiritakis, Emmanuel D - C.E.P.R. Discussion Papers - 1996

The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia...

Persistent link: https://www.econbiz.de/10005124169

Covered Purchasing Power Parity, Ex-Ante PPP and Risk Aversion

Moore, Michael J - C.E.P.R. Discussion Papers - 1992

The standard expectations augmented theory of ex-ante purchasing power parity (PPP), which was first developed by Roll, assumes that agents are risk neutral. A Covered Purchasing Power Condition is developed which holds for the general case of risk aversion. A risk-augmented form of ex-ante PPP...

Persistent link: https://www.econbiz.de/10005124291

Drivers of Structural Change in Cross-Border Banking Since the Global Financial Crisis

Bremus, Franziska; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2014

importance of regulatory arbitrage as a driver of cross-border bank flows since the global financial crisis. However, in the euro … area, arbitrage in capital stringency was linked to lower cross-border lending since the crisis. …

Persistent link: https://www.econbiz.de/10011145418

The Dynamics of Financially Constrained Arbitrage

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

Persistent link: https://www.econbiz.de/10011184076

The impact of dark trading and visible fragmentation on market quality

de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011

Two important characteristics of current equity markets are the large number of trading venues with publicly displayed order books and the substantial fraction of trading that takes place in the dark, outside such visible order books. This paper evaluates the impact of dark trading and...

Persistent link: https://www.econbiz.de/10009359491

The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009

The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...

Persistent link: https://www.econbiz.de/10008491718

Conflicts of Interest, Reputation, and the Interwar Debt Crisis: Banksters or Bad Luck?

Flandreau, Marc; Gaillard, Norbert; Panizza, Ugo - C.E.P.R. Discussion Papers - 2010

This paper builds a new dataset with detailed information on the universe of foreign government bonds issued in New York in the 1920s and uses these data to describe the behavior of the financial intermediaries which operated in the New York market during the period leading to the interwar debt...

Persistent link: https://www.econbiz.de/10008468539

Learning and Complementarities: Implications for Speculative Attacks

Goldstein, Itay; Ozdenoren, Emre; Yuan, Kathy - C.E.P.R. Discussion Papers - 2010

We study a model where the aggregate trading of currency speculators reveals new information to the central bank and affects its policy decision. We show that the learning process gives rise to coordination motives among speculators leading to large currency attacks and introducing...

Persistent link: https://www.econbiz.de/10008468601

A Transaction Data Study of the Forward Bias Puzzle

Breedon, Francis; Rime, Dagfinn; Vitale, Paolo - C.E.P.R. Discussion Papers - 2010

Using a market microstructure analytical framework we decompose the FX forward discount bias into elements due to time-varying risk premia (related to EBS order flow) and forecast errors derived using the Reuters survey of FX market participants. We find that both elements are significant...

Persistent link: https://www.econbiz.de/10008468647

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