Government Intervention and Arbitrage
dc.contributor.author | Pasquariello, Paolo | |
dc.date.accessioned | 2014-06-23T12:13:11Z | |
dc.date.available | 2014-06-23T12:13:11Z | |
dc.date.issued | 2017-03 | |
dc.identifier | 1240 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/107444 | |
dc.description.abstract | We model and document the novel notion that direct government intervention in a market may induce violations of the law of one price (LOP) in other, arbitrage-related markets. We show that the introduction of a government pursuing a non-public, partially informative price target in a model of strategic trading and segmented dealership generates equilibrium price differentials among fundamentally identical (or linearly related) assets -- especially when markets are illiquid, LOP violations are small, speculators are heterogeneously informed, or policy uncertainty is high. We find supportive evidence in a sample of ADRs traded in U.S. exchanges and currency interventions by developed and emerging countries between 1980 and 2009. | en_US |
dc.subject | Arbitrage | en_US |
dc.subject | Law of One Price | en_US |
dc.subject | Central Bank | en_US |
dc.subject | Government Intervention | en_US |
dc.subject | Currency Market | en_US |
dc.subject | ADR | en_US |
dc.subject | Liquidity | en_US |
dc.subject | Strategic Trading | en_US |
dc.subject.classification | Finance | en_US |
dc.title | Government Intervention and Arbitrage | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.contributor.affiliationum | Ross School of Business | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/107444/13/1240_Pasquariello_May2017.pdf | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/107444/10/Pasquariello-March2017.pdf | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/107444/8/1240_Pasquariello_May2016.pdf | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/107444/6/1240_ Pasquariello_June2015_2.pdf | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/107444/4/1240_ Pasquariello_June2015.pdf | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/107444/1/1240_Pasquariello.pdf | |
dc.description.filedescription | Description of 1240_Pasquariello_May2017.pdf : May 2017 revision | |
dc.description.filedescription | Description of 1240_Pasquariello_May2016.pdf : SUPERSEDED: May 2016 Revision | |
dc.description.filedescription | Description of 1240_ Pasquariello_June2015_2.pdf : SUPERSEDED: June 2015 Revision (newer) | |
dc.description.filedescription | Description of 1240_ Pasquariello_June2015.pdf : SUPERSEDED: June 2015 Revision | |
dc.description.filedescription | Description of 1240_Pasquariello.pdf : SUPERSEDED: Original version | |
dc.description.filedescription | Description of 1240_Pasquariello_May2017.pdf : May 2017 revision - | |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
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