| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29744 |
| 来源ID | Working Paper 29744 |
| The Value of Arbitrage | |
| Eduardo Dávila; Daniel D. Graves; Cecilia Parlatore | |
| 发表日期 | 2022-02-14 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | This paper studies the social value of closing price differentials in financial markets. We show that arbitrage gaps (price differentials between markets) exactly correspond to the marginal social value of executing an arbitrage trade. We further show that arbitrage gaps and measures of price impact are sufficient to compute the total social value from closing an arbitrage gap. Theoretically, we show that, for a given arbitrage gap, the total social value of arbitrage is higher in more liquid markets. We apply our framework to compute the welfare gains from closing arbitrage gaps in the context of covered interest parity violations and several dual-listed companies. The estimates of the value of closing arbitrage gaps vary substantially across applications. |
| 主题 | Microeconomics ; Welfare and Collective Choice ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w29744 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587418 |
| 推荐引用方式 GB/T 7714 | Eduardo Dávila,Daniel D. Graves,Cecilia Parlatore. The Value of Arbitrage. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29744.pdf（2582KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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