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Segmented Arbitrage
We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are inconsistent with canonical intermediary asset pricing models. We show that at least two types of segmentation drive arbitrage dynamics. First, funding is segmented—certain trades rely on specific funding sources, making their arbitrage spreads sensitive to localized funding shocks. Second, balance sheets are segmented—intermediaries specialize in certain trades, so arbitrage spreads are sensitive to idiosyncratic balance-sheet shocks.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| TJF8005 | PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | United States: American Finance Association 2025 |
|---|---|
| Edisi | Vol. 80 Issue 5, Oct 2025 |
| Subjek | Segmentation Foreign exchange markets Arbitrage Intermediaries |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 36 p. |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |