Limited Arbitrage between Equity and Credit Markets
We examine whether limits to arbitrage explain the level of integration between a firms equity and credit market, and find extensive support for the hypothesis. Up to 44％ of the cross-sectional variation in the long-term equity-credit market correlation is explained by proxies for limited arbitrage such as the heterogeneity of a firms investors, funding liquidity, market liquidity, and idiosyncratic risk. There is little to no evidence to support alternative hypotheses that tie pricing discrepancies to changes in volatility, changes in debt, or systematic liquidity of the credit market.
imited arbitrage credit default swap
Nikunj Kapadia Xiaoling Pu
Isenberg School of Management, University of Massachusetts, Amherst, MA 01003 University of Massachusetts and Kent State, respectively
国际会议
广州
英文
1-45
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）