Short-lived arbitrage opportunities arise when prices adjust with a lag to new information.
They are toxic because they expose dealers to the risk of trading at stale quotes. Hence …

ABSTRACT GNMA mortgage‐backed pass‐through securities are supported by pools of
amortizing, callable loans. Additionally, mortgagors often prepay their loans when the …

We argue that central bank large-scale asset purchases—commonly known as quantitative
easing (QE)—can reduce priced frictions to trading through a liquidity channel that operates …

A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often
differ from those in cash markets. We propose that the cost of renting intermediary balance …

This paper explores the link between geopolitical risks and energy prices crash risk.
Studying energy price crashes is important given the sharp fall in oil prices in 2008 and …

Abstract We explore whether Quantitative Easing (QE) negatively affected the functioning of
the treasury market. Focusing on the arbitrage between European sovereign bonds and …

The single and joint effects of financial intervention policies introduced by governments and
power distance culture on returns of equity markets during the COVID-19 | Emerald Insight …

Abstract Many of the Federal Reserve's (the Fed's) monetary policy operations involve
trading with primary dealers. We find that, for agency MBS, dealers charge 2.5 cents (per …

This paper uncovers an overlooked motivation of Bitcoin investment: investors hold Bitcoin
as an asset on which government authorities have limited influence. Consistent with this …

We study the Chinese government's stock market bailout operation in 2015. We focus on the
bailout's opaque nature and explore its unintended consequences in both asset prices and …