In November 2001, bank regulators finalized the so-called Recourse Rule, which lowered risk weights from 1 to 0.5 for A-rated and to 0.2 for AAA- and AA-rated private-label securitization tranches. After the rule change, on average, securitization-active bank holding companies with at least $50...

In November 2001, regulators finalized the “Recourse Rule.” The rule lowered risk weights, and therefore commercial bank holding company capital requirements, to 0.2 for holdings of AAA- and AA-rated “private label” securitization tranches, created by investment banks and securitizing...

We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made the markets faster. Our sample is from NASDAQ Nordic and consists of Nordic blue chip firms listed and traded in multiple markets. We document a sharp decline in the incidence of...

We hypothesize there is an increased noise demand for stocks of acquirers in response to acquisition announcements and that the demand is greater for acquirers with higher uncertainty in their equity valuation. Using idiosyncratic volatility to measure uncertainty, we find support for limits of...

We investigate to what extent the roll-out of the mobile phone network in Mozambique reduced search costs, and thereby lowered transport costs and improved the efficiency of agricultural markets. Estimations are based on data of both maize market prices and transport costs of maize grain....

This paper studies relative price gaps between pairs of nearly identical Exchange-Traded Funds (ETFs) listed on US exchanges. Prices usually move in lockstep, but sometimes diverge from parity by larger amounts. Over the period 2010-2016, a simple pairs trading strategy produced abnormal returns...

These lecture notes summarize standard machinery of an advanced course on Mathematics of Arbitrage. This note is based on material developed in a series of papers published in recent years by Prof. Walter Schachermeyer. The notes must be understood as a complementary material to the book of F....

Since October 2008 fixed rates for interest rate swaps with a thirty year maturity have been mostly below treasury rates with the same maturity. Under standard assumptions this implies the existence of arbitrage opportunities. This paper presents a model for pricing long-term interest rate swaps...

Using confidential microdata, I document that foreign multinational firms' income shifting out of the United States is positively associated with their real economic activity in the US. When these firms face greater restrictions on income shifting – resulting from the staggered implementation...

I study the prevalence and profitability of regulatory arbitrage in U.S. banks foreign activities. I analyze a publicly available bank-level dataset on bilateral lending flows to 75 countries over 2003-2013. U.S. banks lend less to borrowers in host countries with stricter bank regulations, and...