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The geography of funding markets and limits to arbitrage

Title	The geography of funding markets and limits to arbitrage
Author	Buraschi, A., Menguturk, M., Şener, Emrah
Publication Date:	2015-04
Publication Place	- Society for Financial Studies
Type	Periodical
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	1465-7368
Record ID	28cc9c1a-2cb1-48e4-aed5-32ab27f29d9c
Library Location	Business Administration
Date	2015-04
Notes	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Sample Text	We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. During the 2007–2008 crisis, we find the emergence of large pricing anomalies in EM sovereign bond markets. Neither liquidity nor short-selling constraints can explain these persistent events. We use both cross-sectional and time-series information on these pricing anomalies to learn about specific geographical frictions in funding markets. We find support for explanations based on the interaction of banking capital-structure frictions and the fragility of wholesale funding markets. We document the effects of nonconventional policy interventions on this mispricing.
DOI	10.1093/rfs/hhu090
Cilt	28

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Özyeğin University

The geography of funding markets and limits to arbitrage

Author Buraschi, A., Menguturk, M., Şener, Emrah

Publication Date 2015-04

Publication Place - Society for Financial Studies

Type Periodical

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 1465-7368

Record ID 28cc9c1a-2cb1-48e4-aed5-32ab27f29d9c

Library Location Business Administration

Date 2015-04

Notes Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Sample Text We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. During the 2007–2008 crisis, we find the emergence of large pricing anomalies in EM sovereign bond markets. Neither liquidity nor short-selling constraints can explain these persistent events. We use both cross-sectional and time-series information on these pricing anomalies to learn about specific geographical frictions in funding markets. We find support for explanations based on the interaction of banking capital-structure frictions and the fragility of wholesale funding markets. We document the effects of nonconventional policy interventions on this mispricing.

DOI 10.1093/rfs/hhu090

Cilt 28