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Arbitrage Crashes : Slow-Moving Capital or Market Segmentation?
Dick-Nielsen, Jens - 2020
Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …
Persistent link: https://www.econbiz.de/10012856844
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Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?
Ong, Li - 2014
Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...
Persistent link: https://www.econbiz.de/10013056805
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ETFs, arbitrage, and contagion
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011
Persistent link: https://www.econbiz.de/10009507310
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …
Persistent link: https://www.econbiz.de/10011391709
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Arbitrage crashes and the speed of capital
Mitchell, Mark; Pulvino, Todd - In: Journal of financial economics 104 (2012) 3, pp. 469-490
Persistent link: https://www.econbiz.de/10009622475
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Short-run arbitrage in crisis markets : experimental evidence
Sonsino, Doron; Shavit, Tal - In: Annals of financial economics 9 (2014) 1, pp. 1-60
Persistent link: https://www.econbiz.de/10010489148
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
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Financial Fragmentation and Insider Arbitrage
Klonner, Stefan - 2010
If there were no impediments to the flow of capital across space, then the returns to capital should be equalized. We provide evidence to the contrary. There are large differences in the return to comparable investments across different towns in the state of Tamil Nadu in South India. We explore...
Persistent link: https://www.econbiz.de/10013145147
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Arbitrage potential in the Eurex order book : evidence from the financial crisis in 2008
Schober, Peter; Wagener, Martin - In: Risk governance & control : financial markets & institutions 5 (2015) 4, pp. 300-313
Persistent link: https://www.econbiz.de/10011598177
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Arbitrage crashes, financial accelerator, and sudden market freezes
Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft
arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …
Persistent link: https://www.econbiz.de/10011875637